Optimal starting—stopping problems for markov–feller processes
J. L. Menaldi, Maurice Robin, Min Sun · Stochastics and stochastics reports · 1996
By means of nested inequalities in semigroup form we give a characterization of the value functions of the starting–stopping problem for general Markov–Feller processes. Next, we consider two versions ofconstrained problems on the final state or on the final time