Optimal stopping without Snell envelopes

DOI10.1090/PROC/15806MaRDI QIDQ7028979zbMATH OpenFDO

Authors Teemu Pennanen, Ari-Pekka Perkkiö

Publication date 11 February 2025

Published in Proceedings of the American Mathematical Society (Search for Journal in Brave)

zbMATH Keywords

dualityoptimal stoppingBanach spaces

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Stopping times; optimal stopping problems; gambling theory (60G40) Duality theory (optimization) (49N15)

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