Linear programming approach to the optimal stopping of singular stochastic processes

DOI10.1080/17442500600976814MaRDI QIDQ3429348zbMATH OpenOpenAlexFDO

Authors 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

Mathematics Subject Classification ID

Linear programming (90C05) Stopping times; optimal stopping problems; gambling theory (60G40) Local time and additive functionals (60J55)

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• Linear programming and sequential decisions
• Occupation measures for controlled Markov processes: Characterization and optimality
• On approximation by polygons in the calculus of variations
• The Russian option: finite horizon
• Time-average control of martingale problems: A linear programming formulation
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Cited in

(16)

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• A partial history of the early development of continuous-time nonlinear stochastic systems theory
• Thinning and harvesting in stochastic forest models
• On the LP formulation in measure spaces of optimal control problems for jump-diffusions
• Optimal stopping with signatures
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• A dynamic analytic method for risk-aware controlled martingale problems
• Linear Programming Formulation for Optimal Stopping Problems
• Impulsive control for continuous-time Markov decision processes: a linear programming approach
• Construction of the value function and optimal rules in optimal stopping of one-dimensional diffusions
• A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING
• Mean-field games of optimal stopping: a relaxed solution approach
• Determining the Optimal Control of Singular Stochastic Processes Using Linear Programming
• scientific article; zbMATH DE number 2133115 (Why is no real title available?)

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