Martingale Optimal Transport with Stopping
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Publication:4605433
DOI10.1137/17M1114065zbMath1405.60053arXiv1701.06231MaRDI QIDQ4605433
Yavor I. Stoev, Erhan Bayraktar, Alexander Matthew Gordon Cox
Publication date: 22 February 2018
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1701.06231
dynamic programmingoptimal stoppingviscosity solutionsconcave envelopemartingale optimal transportstochastic Perron's methoddistribution constraints
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)
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