On some optimal stopping problems with constraint

DOI10.1137/15M1040001zbMATH Open1347.60044OpenAlexW2528362590MaRDI QIDQ2822797FDOQ2822797

Authors: José-Luis Menaldi, M. Robin 

Publication date: 5 October 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/15m1040001

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zbMATH Keywords

optimal stoppinginformation constraintsMarkov-Feller processes

Mathematics Subject Classification ID

Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited In (22)

• The shape of the value function under Poisson optimal stopping
• Markov decision processes with a stopping time constraint
• A verification theorem for optimal stopping problems with expectation constraints
• Constrained dynkin's stopping problem with continuous parameter
• On optimal stopping and impulse control with constraint
• Dynkin games with Poisson random intervention times
• Title not available (Why is that?)
• Ergodic impulse control with constraint: locally compact case
• On some impulse control problems with constraint
• On reducing a constrained gradual-impulsive control problem for a jump Markov model to a model with gradual control only
• On some ergodic impulse control problems with constraint
• Constrained optimal stopping, liquidity and effort
• Ergodic control of diffusions with random intervention times
• Caballero-Engel meet Lasry-Lions: a uniqueness result
• Constrained optimal stopping under a regime-switching model
• Two-sided Poisson control of linear diffusions
• Randomised rules for stopping problems
• Ergodic switching control for diffusion-type processes
• Solutions for Poissonian stopping problems of linear diffusions via extremal processes
• A zero-sum Poisson stopping game with asymmetric signal rates
• On the forward algorithm for stopping problems on continuous-time Markov chains
• Optimal stopping with information constraint

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