Vorträge und Posterpräsentationen (ohne Tagungsband-Eintrag):
S. Källblad:
"A dynamic programming principle for distribution-constrained optimal stopping";
Vortrag: International Workshop on BSDEs, SPDEs and their Applications,
Edinburgh, U.K. (eingeladen);
04.07.2017
- 07.07.2017.
Kurzfassung englisch:
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.
Elektronische Version der Publikation:
https://ocs.springer.com/prom/home/BSDE-SPDE2017
Erstellt aus der Publikationsdatenbank der Technischen Universität Wien.