Bounds for a constrained optimal stopping problem

DOI10.1007/S11590-009-0127-8zbMATH Open1174.60017OpenAlexW1998330966MaRDI QIDQ732774FDOQ732774

Authors: Cloud Makasu 

Publication date: 15 October 2009

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-009-0127-8

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zbMATH Keywords

Lagrangian multiplierconstrained optimal stopping problemLagrangian dual problem

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Cites Work

• Optimal time to invest when the price processes are geometric Brownian motions
• On Wald Optimal Stopping Problem for Geometric Brownian Motions
• Optimal Stopping with a Horizon Constraint
• On a constrained optimal stopping problem
• Lagrangean Methods and Optimal Stopping

Cited In (18)

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• A duality approach to problems of combined stopping and deciding under constraints
• A verification theorem for optimal stopping problems with expectation constraints
• Constrained dynkin's stopping problem with continuous parameter
• Lagrangean Methods and Optimal Stopping
• Title not available (Why is that?)
• Asymptotic behaviour of a nonlinear equation and its application
• Title not available (Why is that?)
• Stochastic control/stopping problem with expectation constraints
• A note on explicit bounds for a stopped Feynman-Kac functional
• Title not available (Why is that?)
• Bounds for expected payoff on two stocks
• An optimal stopping problem with a reward constraint
• On the time consistent solution to optimal stopping problems with expectation constraint
• Nonlinear PDE approach to time-inconsistent optimal stopping
• Optimal stopping with information constraint
• An optimal stopping time problem with time average cost in a bounded interval
• Optimal stopping with expectation constraints

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