Talks and Poster Presentations (without Proceedings-Entry):

S. Källblad:
"A dynamic programming principle for distribution-constrained optimal stopping";
Talk: International Workshop on BSDEs, SPDEs and their Applications, Edinburgh, U.K. (invited); 2017-07-04 - 2017-07-07.

English abstract:
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an initial condition and view the problem as a stochastic control problem; we establish the corresponding dynamic programming principle.

Electronic version of the publication:

Created from the Publication Database of the Vienna University of Technology.