Optimal stopping with expectation constraints

DOI10.1214/23-aap1980arXiv2011.04886OpenAlexW4391483442MaRDI QIDQ6126790

Publication date: 10 April 2024

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.04886

zbMATH Keywords

measurable selection dynamic programming principle regular conditional probability distribution enlarged canonical space martingale-problem formulation optimal stopping with expectation constraints Polish space of stopping times

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

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