Optimal stopping with a probabilistic constraint

DOI10.1007/s10957-017-1183-3zbMath1383.93097OpenAlexW2767371887MaRDI QIDQ1695821

Alexander Vladimirsky, Aaron Zeff Palmer

Publication date: 8 February 2018

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-017-1183-3

zbMATH Keywords

dynamic programmingstochastic optimal controlchance constraintstopping-times

Mathematics Subject Classification ID

Related Items (1)

Optimal Transport with Controlled Dynamics and Free End Times

Uses Software

• GitHub

Cites Work

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• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Neuro-Dynamic Programming: An Overview and Recent Results

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