Optimal stopping and the sufficiency of randomized threshold strategies
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Publication:1748586
DOI10.1214/18-ECP125zbMATH Open1390.60155arXiv1708.01038OpenAlexW2963616418MaRDI QIDQ1748586FDOQ1748586
Authors: Vicky Henderson, Matthew Zeng, David Hobson 
Publication date: 11 May 2018
Published in: Electronic Communications in Probability (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1708.01038
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- Threshold strategies in optimal stopping problem for one-dimensional diffusion processes
- On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
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