Talks and Poster Presentations (without Proceedings-Entry):

S. Källblad:
"A dynamic programming principle for distribution-constrained optimal stopping";
Talk: Young Researcher Workshop on Robust Mathematical Finance, ETH Zürich, Schweiz; 2017-04-26.

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 socalled 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.