Risk-sensitive optimal stopping with unbounded terminal cost function
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Publication:2076651
DOI10.1214/21-EJP736zbMath1485.93633arXiv2104.00731MaRDI QIDQ2076651
Damian Jelito, Łukasz Stettner
Publication date: 22 February 2022
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2104.00731
Bellman equationoptimal stoppingdynamic programming principleFeller-Markov processunbounded cost function
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Existence theories for optimal control problems involving relations other than differential equations (49J21)
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Cites Work
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