Representation of non-Markovian optimal stopping problems by constrained BSDEs with a single jump

DOI10.1214/16-ECP4123zbMath1338.60118arXiv1502.05422MaRDI QIDQ287772

Huyên Pham, Marco Fuhrman, Federica Zeni

Publication date: 23 May 2016

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

Full work available at URL: https://arxiv.org/abs/1502.05422

zbMATH Keywords

optimal stoppingbackward stochastic differential equationsrandomized stopping

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (4)

Backward SDEs for optimal control of partially observed path-dependent stochastic systems: A control randomization approach ⋮ Backward SDEs and infinite horizon stochastic optimal control ⋮ Discrete-type approximations for non-Markovian optimal stopping problems: Part I ⋮ Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs

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