Note on the (non-)smoothness of discrete time value functions in optimal stopping
From MaRDI portal
Publication:2201538
DOI10.1214/20-ECP335zbMath1471.60054arXiv1911.05414MaRDI QIDQ2201538
Publication date: 29 September 2020
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1911.05414
optimal stoppingsmoothnessrandom walkvalue functionChow-Robbins gamecontinuation setdiscrete time stopping problem
Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)
Related Items (1)
Cites Work
- On the smoothness of value functions and the existence of optimal strategies in diffusion models
- Nonsmooth equations in optimization. Regularity, calculus, methods and applications
- Timing in the presence of directional predictability: optimal stopping of skew Brownian motion
- On optimal stopping rules for \(s_ n /n\)
- On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
- Explicit Solutions to Some Problems of Optimal Stopping
- Unnamed Item
- Unnamed Item
This page was built for publication: Note on the (non-)smoothness of discrete time value functions in optimal stopping