Talks and Poster Presentations (without Proceedings-Entry):
S. Källblad:
"A Dynamic Programming Principle for Distribution-Constrained Optimal Stopping";
Talk: 8th General AMaMeF Conference,
Amsterdam, Netherlands;
2017-06-19
- 2017-06-23.
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 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:
http://schedule.8amamef.nl/Abstract/689
Created from the Publication Database of the Vienna University of Technology.