Optimal Stopping Problem with a Vector-Valued Reward Function

DOI10.1080/01630563.2013.858051zbMath1292.58007OpenAlexW2141092441MaRDI QIDQ4979798

Cloud Makasu

Publication date: 19 June 2014

Published in: Numerical Functional Analysis and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01630563.2013.858051

zbMATH Keywords

scalarization methodgeometric Brownian motionsvector-valued optimal stopping problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Multiobjective variational problems, Pareto optimality, applications to economics, etc. (58E17)

Cites Work

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