On randomized stopping

DOI10.3150/07-BEJ108zbMath1157.60316arXiv0705.2302OpenAlexW3099332954MaRDI QIDQ1002557

István Gyöngy, David Šiška

Publication date: 2 March 2009

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0705.2302

zbMATH Keywords

optimal stoppingcontrolled diffusion processes

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (8)

Fine properties of the optimal Skorokhod embedding problem ⋮ Optimal Stopping, Randomized Stopping, and Singular Control with General Information Flow ⋮ On finite-difference approximations for normalized Bellman equations ⋮ Randomized Optimal Stopping Algorithms and Their Convergence Analysis ⋮ Pricing American options by exercise rate optimization ⋮ On the Compensator in the Doob--Meyer Decomposition of the Snell Envelope ⋮ Low-Dimensional Approximations of High-Dimensional Asset Price Models ⋮ Stochastic Control Representations for Penalized Backward Stochastic Differential Equations

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