Linear programming approach to the optimal stopping of singular stochastic processes
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Publication:3429348
DOI10.1080/17442500600976814zbMATH Open1110.60038OpenAlexW1993558670MaRDI QIDQ3429348FDOQ3429348
Richard H. Stockbridge, K. Helmes
Publication date: 30 March 2007
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500600976814
Linear programming (90C05) Stopping times; optimal stopping problems; gambling theory (60G40) Local time and additive functionals (60J55)
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Cited In (12)
- A partial history of the early development of continuous-time nonlinear stochastic systems theory
- On the LP formulation in measure spaces of optimal control problems for jump-diffusions
- Explicit hard bounding functions for boundary value problems for elliptic partial differential equations
- Construction of the Value Function and Optimal Rules in Optimal Stopping of One-Dimensional Diffusions
- Optimal stopping with signatures
- Impulsive control for continuous-time Markov decision processes: a linear programming approach
- Thinning and harvesting in stochastic forest models
- Duality Theory, Representation Formulas and Uniqueness Results for Viscosity Solutions of Hamilton–Jacobi Equations
- A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING
- A dynamic analytic method for risk-aware controlled martingale problems
- Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time
- Mean-Field Games of Optimal Stopping: A Relaxed Solution Approach
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