Geometry of distribution-constrained optimal stopping problems
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Abstract: We adapt ideas and concepts developed in optimal transport (and its martingale variant) to give a geometric description of optimal stopping times of Brownian motion subject to the constraint that the distribution of the stopping time is a given probability. The methods work for a large class of cost processes. (At a minimum we need the cost process to be measurable and adapted. Continuity assumptions can be used to guarantee existence of solutions.) We find that for many of the cost processes one can come up with, the solution is given by the first hitting time of a barrier in a suitable phase space. As a by-product we recover classical solutions of the inverse first passage time problem / Shiryaev's problem.
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Cited in
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- Existence, duality, and cyclical monotonicity for weak transport costs
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- Optimal Brownian stopping when the source and target are radially symmetric distributions
- Stopping criteria for the Ando-Li-Mathias and Bini-Meini-Poloni geometric means
- A non‐linear monotonicity principle and applications to Schrödinger‐type problems
- Stopping with expectation constraints: 3 points suffice
- Stochastic control/stopping problem with expectation constraints
- Martingale optimal transport with stopping
- Stochastic optimal transport with free end time
- Distribution-constrained optimal stopping
- A dynamic programming approach to distribution-constrained optimal stopping
- Optimal stopping of stochastic transport minimizing submartingale costs
- Baxter-Chacon topology and vector-valued optimal stopping problems
- Martingale Benamou-Brenier: a probabilistic perspective
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