On the time consistent solution to optimal stopping problems with expectation constraint

DOI10.1007/S00245-024-10202-WMaRDI QIDQ6667545zbMATH OpenFDO

Authors S. Christensen, Manfred Klein, Bradley D. Schultz

Publication date 20 January 2025

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S00245-024-10202-W

zbMATH Keywords

equilibriumexpectation constraintoptimal stoppingtime consistent solution

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Dynamic games (91A25) Dynamic stochastic general equilibrium theory (91B51)

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Cited in

(1)

• Drift control with discretionary stopping for a diffusion

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