On general optimal stopping problems using penalty method
From MaRDI portal
Publication:4898883
DOI10.1515/DEMA-2013-0385zbMATH Open1260.60077OpenAlexW1013055047MaRDI QIDQ4898883FDOQ4898883
Authors: Łukasz Stettner 
Publication date: 3 January 2013
Published in: Demonstratio Mathematica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/dema-2013-0385
Recommendations
Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Variational inequalities in Hilbert spaces with measures and optimal stopping problems
- Strong envelopes of stochastic processes and a penalty method†
- Penalty method for finite horizon stopping problems
- Finite horizon optimal stopping of time-discontinuous functionals with applications to impulse control with delay
- Stopping of functionals with discontinuity at the boundary of an open set
- On Impulse Control with Partial Observation
- Title not available (Why is that?)
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
- Title not available (Why is that?)
- Penalty method for finite horizon stopping problems
This page was built for publication: On general optimal stopping problems using penalty method
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4898883)
