Talks and Poster Presentations (without Proceedings-Entry):
"A dynamic programming principle for distribution-constrained optimal stopping";
Talk: Young Researcher Workshop on Robust Mathematical Finance,
ETH Zürich, Schweiz;
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.