A duality approach to problems of combined stopping and deciding under constraints

DOI10.1007/s001860200195zbMath1043.60032OpenAlexW2052674066MaRDI QIDQ1397070

Thomas Balzer, Klaus Janssen

Publication date: 16 July 2003

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860200195

zbMATH Keywords

optimal stoppingLagrangian multipliersoptimization with constraintscombined stopping and deciding

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Numerical methods based on nonlinear programming (49M37) Programming in abstract spaces (90C48) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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