Risk sensitive optimal stopping

DOI10.1016/j.spa.2021.03.005zbMath1467.93330arXiv1912.02486OpenAlexW2993714340MaRDI QIDQ2029782

Marcin Pitera, Damian Jelito, Łukasz Stettner

Publication date: 4 June 2021

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.02486

zbMATH Keywords

Bellman equationoptimal stoppingimpulse controlrisk sensitive controlrisk sensitive criterion

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Impulsive control/observation systems (93C27)

Related Items (3)

Stabilization of highly nonlinear hybrid systems driven by Lévy noise and delay feedback control based on discrete-time state observations ⋮ Asymptotics of impulse control problem with multiplicative reward ⋮ Risk-sensitive optimal stopping with unbounded terminal cost function

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