Optimal stopping and the sufficiency of randomized threshold strategies
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Abstract: In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping problems beyond this paradigm. We study problems in which the value associated to a stopping rule depends on the law of the stopped process. If this value is quasi-convex on the space of attainable laws then it is a well known result that it is sufficient to restrict attention to the class of threshold strategies. However, if the objective function is not quasi-convex, this may not be the case. We show that, nonetheless, it is sufficient to restrict attention to mixtures of threshold strategies.
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- Threshold strategies in optimal stopping problem for one-dimensional diffusion processes
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- Optimal stopping time on semi-Markov processes with finite horizon
- Limit theorems for suprema, threshold-stopped random variables and last exits of i.i.d. random variables with costs and discounting, with applications to optimal stopping
- Randomized Optimal Stopping Algorithms and Their Convergence Analysis
- On optimal stopping rules for \(s_ n /n\)
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