Stopping with expectation constraints: 3 points suffice

DOI10.1214/19-EJP309zbMath1456.60094MaRDI QIDQ2316590

Nabil Kazi-Tani, Thomas Kruse, Maike Klein, Stefan Ankirchner

Publication date: 6 August 2019

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejp/1561687599

zbMATH Keywords

optimal stoppingSkorokhod embedding problemexpectation constraintextreme points of sets of probability measuresone-dimensional strong Markov processes

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (4)

Wasserstein convergence rates for random bit approximations of continuous Markov processes ⋮ Bayesian sequential testing with expectation constraints ⋮ A functional limit theorem for coin tossing Markov chains ⋮ Properties of the EMCEL scheme for approximating irregular diffusions

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