Distribution‐constrained optimal stopping

DOI10.1111/mafi.12171zbMath1411.91540arXiv1604.03042OpenAlexW2962894788MaRDI QIDQ5743126

Christopher W. Miller, Erhan Bayraktar

Publication date: 8 May 2019

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.03042

zbMATH Keywords

optimal controlstate constraintsoptimal stoppingdistribution constraintsrobust hedging with a volatility outlook

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

A dynamic programming approach to distribution-constrained optimal stopping ⋮ Moment-constrained optimal dividends: precommitment and consistent planning ⋮ Optimal Control of Conditional Value-at-Risk in Continuous Time ⋮ On dynamic programming principle for stochastic control under expectation constraints ⋮ Optimal stopping with expectation constraints ⋮ Martingale Optimal Transport with Stopping ⋮ Nonlinear PDE Approach to Time-Inconsistent Optimal Stopping ⋮ Stochastic optimal transport with free end time ⋮ Stopping with expectation constraints: 3 points suffice

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