Optimal Stopping, Randomized Stopping, and Singular Control with General Information Flow

DOI10.1137/S0040585X97T990642zbMath1480.60103arXiv1802.06347OpenAlexW4214608446MaRDI QIDQ5034422

Sven Haadem, Nacira Agram, Frank Norbert Proske, Bernt Øksendal

Publication date: 25 February 2022

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.06347

zbMATH Keywords

optimal controloptimal stoppingsingular controlgeneral information flow

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

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