Optimal stopping of stochastic transport minimizing submartingale costs

DOI10.1090/tran/8458zbMath1473.49051arXiv2003.06465OpenAlexW3159611474MaRDI QIDQ3382260

Nassif Ghoussoub, Aaron Zeff Palmer, Young-Heon Kim

Publication date: 21 September 2021

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.06465

zbMATH Keywords

optimal transportoptimal stopping timesstochastic state processsubmartingale cost process

Mathematics Subject Classification ID

Transportation, logistics and supply chain management (90B06) Stopping times; optimal stopping problems; gambling theory (60G40) Duality theory (optimization) (49N15) Optimal stopping in statistics (62L15) Existence of optimal solutions to problems involving randomness (49J55) Optimal transportation (49Q22)

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