@inbook{cbdcc3ae03eb45e288822f7588981945,
title = "An optimal threshold policy in applications of a two-state markov process",
abstract = "We consider a problem of optimal control of a two-state Markov process. The objective is to minimize a total discounted cost over an infinite horizon, when the capabilities of the control effort are different in the two states. The necessary optimality conditions allow studying state-costate dynamics over the regular and singular control regimes. By making use of the properties of the costate process we prove the optimality of a threshold policy and calculate the value of the threshold in some specific cases of the cost function, as well as in a case where a probabilistic constraint is imposed on the state variable. The distribution function of the state variable and the thresholds are expressed as a series of the modified Bessel functions.",
author = "Eugene Khmelnitsky",
note = "Publisher Copyright: {\textcopyright} Springer International Publishing Switzerland 2014.",
year = "2014",
doi = "https://doi.org/10.1007/978-3-319-00669-7_11",
language = "الإنجليزيّة",
series = "International Series in Operations Research and Management Science",
pages = "203--219",
booktitle = "International Series in Operations Research and Management Science",
}