On some optimal stopping problems with constraint

DOI10.1137/15M1040001MaRDI QIDQ2822797zbMATH OpenOpenAlexFDO

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

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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• Optimal stopping with information constraint
• Optimal stopping with random intervention times
• Optimal switching at Poisson random intervention times
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Cited in

(22)

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• scientific article; zbMATH DE number 3896138 (Why is no real title available?)
• Ergodic impulse control with constraint: locally compact case
• On some impulse control problems with constraint
• On some ergodic 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
• 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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