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

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimality conditions for problems involving randomness (49K45) Numerical methods for variational inequalities and related problems (65K15)

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Uses Software

• GitHub

Cites Work

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