Stochastic control/stopping problem with expectation constraints
DOI10.1016/J.SPA.2024.104430MaRDI QIDQ6615478
Publication date: 8 October 2024
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
measurable selectiondynamic programming principleregular conditional probability distributionenlarged canonical spacemartingale-problem formulationPolish space of stopping timesPolish space of diffusion controlsstochastic control/stopping problem with expectation constraints
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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