On a constrained optimal stopping problem

DOI10.2307/3213520MaRDI QIDQ3956168zbMATH OpenOpenAlexFDO

Authors D. P. Kennedy

Publication date 1982

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3213520

zbMATH Keywords

convex programming techniqueoptimal stopping problemstopping rules

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Convex programming (90C25)

Cited in

(10)

• A verification theorem for optimal stopping problems with expectation constraints
• Stopping with expectation constraints: 3 points suffice
• Nonlinear PDE approach to time-inconsistent optimal stopping
• Lagrangean Methods and Optimal Stopping
• Bayesian sequential testing with expectation constraints
• Optimal stopping with expectation constraints
• Stochastic control/stopping problem with expectation constraints
• On the time consistent solution to optimal stopping problems with expectation constraint
• Drift control with discretionary stopping for a diffusion
• Bounds for a constrained optimal stopping problem

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