A verification theorem for optimal stopping problems with expectation constraints

DOI10.1007/s00245-017-9424-2zbMath1411.49014OpenAlexW2589412699MaRDI QIDQ1734287

Stefan Ankirchner, Maike Klein, Thomas Kruse

Publication date: 27 March 2019

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-017-9424-2

zbMATH Keywords

optimal stoppingverification theoremdynamic programming principleexpectation constraints

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Nonlinear elliptic equations (35J60) Second-order elliptic equations (35J15)

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