Bounds for a constrained optimal stopping problem

DOI10.1007/S11590-009-0127-8zbMath1174.60017OpenAlexW1998330966MaRDI QIDQ732774

Cloud Makasu

Publication date: 15 October 2009

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-009-0127-8

zbMATH Keywords

Lagrangian multiplierconstrained optimal stopping problemLagrangian dual problem

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Related Items (3)

Optimal stopping with expectation constraints ⋮ Nonlinear PDE Approach to Time-Inconsistent Optimal Stopping ⋮ Asymptotic behaviour of a nonlinear equation and its application

Cites Work

• Optimal time to invest when the price processes are geometric Brownian motions
• On Wald Optimal Stopping Problem for Geometric Brownian Motions
• Optimal Stopping with a Horizon Constraint
• On a constrained optimal stopping problem
• Lagrangean Methods and Optimal Stopping

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