Talks and Poster Presentations (without Proceedings-Entry):
"A dynamic programming principle for distribution-constrained optimal stopping";
Talk: International Workshop on BSDEs, SPDEs and their Applications,
Edinburgh, U.K. (invited);
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.