A duality approach to problems of combined stopping and deciding under constraints (Q1397070): Difference between revisions

The paper deals with a duality approach to problems of combined stopping and deciding for continuous-time processes driven by multi-dimensional Brownian motion. The constrained optimization problem can be transformed into a dual problem which involves as a first step an unconstrained stopping and decision problem and afterwards the maximization over all Lagrangian multipliers. The duality of the primal and the dual problem has been established. An abstract duality theorem on constrained optimization by \textit{V. A. Yakubovich} [Vestn. St. Petersbg. Univ., Math. 25, No. 2, 55--63 (1992); translation from Vestn. St.-Peterbg. Univ., Ser. I, Mat. Mekh. Astron. 1992, No. 2, 55--68 (1992; Zbl 0782.90096)] has been used. The duality approach to problems of combined stopping and deciding for the solution of a stochastic differential equation under a finite number of constraints has been solved by \textit{N.~G.~Dokuchaev} [Theory Probab. Appl.~41, No. 4, 761--768 (1996); translation from Teor. Veroyatn. Primen. 41, No. 4, 884--892 (1996; Zbl 0913.60038)].