An exit contract optimization problem

DOI10.1051/COCV/2023064arXiv2108.09008MaRDI QIDQ6186394

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Publication date: 2 February 2024

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.09008

zbMATH Keywords

optimal stoppingstochastic optimal controlcontract theoryBank-El Karoui's representation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) General theory of stochastic processes (60G07) Discrete approximations in optimal control (49M25)

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