On Some Optimal Stopping Problems with Constraint

DOI10.1137/15M1040001zbMath1347.60044OpenAlexW2528362590MaRDI QIDQ2822797

Maurice Robin, José Luis Menaldi

Publication date: 5 October 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/15m1040001

zbMATH Keywords

optimal stoppinginformation constraintsMarkov-Feller processes

Mathematics Subject Classification ID

Related Items (12)

On Some Ergodic Impulse Control Problems with Constraint ⋮ Constrained optimal stopping, liquidity and effort ⋮ A zero-sum Poisson stopping game with asymmetric signal rates ⋮ On Some Impulse Control Problems with Constraint ⋮ Ergodic switching control for diffusion-type processes ⋮ Randomised rules for stopping problems ⋮ The shape of the value function under Poisson optimal stopping ⋮ On Reducing a Constrained Gradual-Impulsive Control Problem for a Jump Markov Model to a Model with Gradual Control Only ⋮ Ergodic control of diffusions with random intervention times ⋮ Dynkin Games with Poisson Random Intervention Times ⋮ Ergodic impulse control with constraint: locally compact case ⋮ On the forward algorithm for stopping problems on continuous-time Markov chains

Cites Work

• Optimal switching at Poisson random intervention times
• Optimal impulse control problems for degenerate diffusions with jumps
• Impulse control of stochastic Navier-Stokes equations
• The theory of stochastic processes. II: Translated from the Russian by S. Kotz
• Optimal stopping with information constraint
• The Valuation of American Options with Stochastic Stopping Time Constraints
• Optimal stopping with random intervention times
• Lévy Processes and Stochastic Calculus
• Stochastic Control Representations for Penalized Backward Stochastic Differential Equations
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