Stable stopping
Abstract We discuss a general framework of optimal stopping under constraints. We extend the Snell envelope and the characterization of optimal stopping times to our framework with constraints and give a condition which ensures the existence of a right-continuous version. We then study non-constrained stopping problems which are penalized with Lagrange multipliers. We are going to see that this family of problems approximate the expected reward of the constrained problem and allow us to construct optimal stopping times.
Year of publication: |
2012
|
---|---|
Authors: | Treviño Aguilar, Erick |
Published in: |
Statistics & Risk Modeling. - Oldenbourg Wissenschaftsverlag GmbH, ISSN 2193-1402, ZDB-ID 2630803-4. - Vol. 29.2012, 2, p. 155-174
|
Publisher: |
Oldenbourg Wissenschaftsverlag GmbH |
Subject: | Applications of Stochastic Analysis | Lagrange multipliers | Optimal Stopping | Optimization Constraints | Regularization of Stochatic Processes |
Saved in:
Online Resource