On general optimal stopping problems using penalty method

DOI10.1515/DEMA-2013-0385MaRDI QIDQ4898883zbMATH OpenOpenAlexFDO

Authors Łukasz Stettner

Publication date 3 January 2013

Published in Demonstratio Mathematica (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported

Full work available at URL https://doi.org/10.1515/dema-2013-0385

zbMATH Keywords

stochastic processesMarkov processesstopping timesPolish spacespenalty equations

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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Cites work

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• Finite horizon optimal stopping of time-discontinuous functionals with applications to impulse control with delay
• On Impulse Control with Partial Observation
• Penalty method for finite horizon stopping problems
• Stopping of functionals with discontinuity at the boundary of an open set
• Strong envelopes of stochastic processes and a penalty method^†
• Variational inequalities in Hilbert spaces with measures and optimal stopping problems

Cited in

(6)

• Perturbation methods in optimal stopping with average cost criterion
• Optimal stopping via pathwise dual empirical maximisation
• Discrete time approximations of continuous time finite horizon stopping problems
• Stable stopping
• scientific article; zbMATH DE number 2183053 (Why is no real title available?)
• Penalty method for finite horizon stopping problems

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