Randomised rules for stopping problems

DOI10.1017/JPR.2020.43MaRDI QIDQ5139914zbMATH OpenOpenAlexFDO

Authors Matthew Zeng, David Hobson

Publication date 11 December 2020

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL http://wrap.warwick.ac.uk/141554/1/WRAP-randomised-rules-stopping-problems-Hobson-2020.pdf

zbMATH Keywords

optimal stoppingPoisson process constrained optimal stoppingrandomised stoppingstochastic choice

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Management decision making, including multiple objectives (90B50)

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Cites work

• Cautious Expected Utility and the Certainty Effect
• Continuous-time stochastic control and optimization with financial applications
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1795850 (Why is no real title available?)
• scientific article; zbMATH DE number 3225458 (Why is no real title available?)
• On some optimal stopping problems with constraint
• Optimal stopping with information constraint
• Optimal stopping with random intervention times
• Optimal switching at Poisson random intervention times
• Preferences for one-shot resolution of uncertainty and Allais-type behavior
• Random Expected Utility
• Stochastic choice and revealed perturbed utility

Cited in

(8)

• Constrained optimal stopping, liquidity and effort
• Optimal stopping problems in Lévy models with random observations
• Some time-invariant stopping rule problems
• Permuting in place: analysis of two stopping rules
• Cautious stochastic choice, optimal stopping and deliberate randomization
• Solutions for Poissonian stopping problems of linear diffusions via extremal processes
• Stopping times of boundaries: relaxation and continuity
• Optimal stopping with variable attention

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