On general optimal stopping problems using penalty method

DOI10.1515/DEMA-2013-0385zbMath1260.60077OpenAlexW1013055047MaRDI QIDQ4898883

Łukasz Stettner

Publication date: 3 January 2013

Published in: Demonstratio Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/dema-2013-0385

zbMATH Keywords

stochastic processesMarkov processesstopping timesPolish spacespenalty equations

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Stopping of functionals with discontinuity at the boundary of an open set
• Variational inequalities in Hilbert spaces with measures and optimal stopping problems
• Finite Horizon Optimal Stopping of Time-Discontinuous Functionals with Applications to Impulse Control with Delay
• Penalty Method for Finite Horizon Stopping Problems
• On Impulse Control with Partial Observation
• Strong envelopes of stochastic processes and a penalty method^†
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