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Stable stopping
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Erick Treviño Aguilar
Veröffentlicht/Copyright:
27. Juni 2012
Abstract
We discuss a general framework of optimal stopping under constraints. We extend the Snell envelope and the characterization of optimal stopping times to our framework with constraints and give a condition which ensures the existence of a right-continuous version. We then study non-constrained stopping problems which are penalized with Lagrange multipliers. We are going to see that this family of problems approximate the expected reward of the constrained problem and allow us to construct optimal stopping times.
Keywords: Applications of Stochastic Analysis; Lagrange multipliers; Optimal Stopping; Optimization Constraints; Regularization of Stochatic Processes
Published Online: 2012-06-27
Published in Print: 2012-06
© by Oldenbourg Wissenschaftsverlag, Guanajuato, Gto., Germany
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Schlagwörter für diesen Artikel
Applications of Stochastic Analysis;
Lagrange multipliers;
Optimal Stopping;
Optimization Constraints;
Regularization of Stochatic Processes
