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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:
https://people.math.ethz.ch/~prodavi/programme.html


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