S. Källblad:
"A Dynamic Programming Principle for Distribution-Constrained Optimal Stopping";
arXiv.org, submitted March (2017), 17 S.

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.

Erstellt aus der Publikationsdatenbank der Technischen Universitšt Wien.