Strong envelopes of stochastic processes and a penalty method†

DOI10.1080/17442508108833167zbMath0467.60046OpenAlexW2027565941MaRDI QIDQ3920377

Zabczyk, Jerzy, Łukasz Stettner

Publication date: 1981

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508108833167

zbMATH Keywords

optimal stoppingpenalty methodSnell envelopeexcessive function

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Probabilistic potential theory (60J45)

Related Items (12)

Optimal switching for alternating processes ⋮ On ergodic stopping and impulsive control problem for nonuniformly ergodic Markov processes ⋮ Optimal switching problems of tandem type ⋮ Generalized Snell envelope as a minimal solution of BSDE with lower barriers ⋮ Reflected BSDEs with regulated trajectories ⋮ On general optimal stopping problems using penalty method ⋮ Temps d'arrêt optimal des processus non bornes ⋮ Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games ⋮ Zero-sum Markov games with stopping and impulsive strategies ⋮ Optimal stopping and a martingale approach to the penalty method ⋮ Dynkin games and martingale methods ⋮ A sequential game and envelopes of stochastic processes

Cites Work

• [https://portal.mardi4nfdi.de/wiki/Publication:5646185 Th�orie des processus stochastiques g�n�raux applications aux surmartingales]
• Dynamic Programming Conditions for Partially Observable Stochastic Systems
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