Representations for Optimal Stopping under Dynamic Monetary Utility Functionals

DOI10.1137/090775841zbMath1200.91104OpenAlexW2089156345MaRDI QIDQ3055873

Volker Krätschmer, John G. M. Schoenmakers

Publication date: 10 November 2010

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090775841

zbMATH Keywords

optimal stoppingdualitypolicy iterationmonetary utility functionals

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Stopping times; optimal stopping problems; gambling theory (60G40)

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