Penalty Method for Finite Horizon Stopping Problems

DOI10.1137/080738635zbMath1228.93132OpenAlexW2001085039MaRDI QIDQ3093637

Łukasz Stettner

Publication date: 18 October 2011

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

Full work available at URL: https://doi.org/10.1137/080738635

zbMATH Keywords

Bellman equationMarkov processstopping timesimpulsive controlpenalty equationzero sum game

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

Related Items (10)

On an Approximation of Average Cost per Unit Time Impulse Control of Markov Processes ⋮ Discrete Time Approximations of Continuous Time Finite Horizon Stopping Problems ⋮ Growth optimal portfolio selection under proportional transaction costs with obligatory diversification ⋮ On general optimal stopping problems using penalty method ⋮ Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games ⋮ Stopping of functionals with discontinuity at the boundary of an open set ⋮ A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis ⋮ Zero-Sum Markov Games with Impulse Controls ⋮ Risk-sensitive optimal stopping with unbounded terminal cost function ⋮ Asymptotics for logistic-type equations with Dirichlet fractional Laplace operator

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