Optimal stopping with information constraint

DOI10.1007/s00245-012-9166-0zbMath1269.93134OpenAlexW1986374674MaRDI QIDQ2391931

Jukka Lempa

Publication date: 5 August 2013

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/41919

zbMATH Keywords

optimal stoppingresolvent operatorPoisson processBellman principle of optimalitygeometric Brownian motionlinear diffusionirreversible investmentmaximization problemexercise payoffexogenous information constraintMarkovian apparatus

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)

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Optimal switching at Poisson random intervention times ⋮ Constrained optimal stopping, liquidity and effort ⋮ A class of solvable multiple entry problems with forced exits ⋮ A zero-sum Poisson stopping game with asymmetric signal rates ⋮ On Some Impulse Control Problems with Constraint ⋮ Randomised rules for stopping problems ⋮ The shape of the value function under Poisson optimal stopping ⋮ Bounded Variation Control of Itô Diffusions with Exogenously Restricted Intervention Times ⋮ Ergodic control of diffusions with random intervention times ⋮ On Some Optimal Stopping Problems with Constraint ⋮ Dynkin Games with Poisson Random Intervention Times ⋮ Some results on optimal stopping under phase-type distributed implementation delay ⋮ A note on asymptotics between singular and constrained control problems of one-dimensional diffusions ⋮ Stochastic Control Representations for Penalized Backward Stochastic Differential Equations ⋮ Resolvent-techniques for multiple exercise problems ⋮ On the forward algorithm for stopping problems on continuous-time Markov chains

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