RECURSIVE OPTIMAL STOPPING WITH POISSON STOPPING CONSTRAINTS

被引：0
|
作者：
Liang, Gechun [1 ]
Wei, Wei [2 ]
Wu, Zhen [3 ]
Xu, Zhenda [3 ]
机构：
[1] Department of Statistics, University of Warwick, Coventry,CV4 7AL, United Kingdom
[2] Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh,EH14 4AS, United Kingdom
[3] School of Mathematics, Shandong University, Jinan,250100, China
来源：
arXiv |
关键词：
Compendex;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Stochastic systems
引用
下载
收藏
相关论文
共 50 条
  • [1] The optimal stopping of a Markov chain and recursive solution of Poisson and Bellman equations
    Sonin, IM
    From Stochastic Calculus to Mathematical Finance: The Shiryaev Festschrift, 2006, : 609 - 621
  • [2] OPTIMAL STOPPING WITH EXPECTATION CONSTRAINTS
    Bayraktar, Erhan
    Yao, Song
    ANNALS OF APPLIED PROBABILITY, 2024, 34 (1B): : 917 - 959
  • [3] Optimal control problems with stopping constraints
    Qun Lin
    Ryan Loxton
    Kok Lay Teo
    Yong Hong Wu
    Journal of Global Optimization, 2015, 63 : 835 - 861
  • [4] Optimal control problems with stopping constraints
    Lin, Qun
    Loxton, Ryan
    Teo, Kok Lay
    Wu, Yong Hong
    JOURNAL OF GLOBAL OPTIMIZATION, 2015, 63 (04) : 835 - 861
  • [5] Random process optimal stopping in the problem with constraints
    Dokuchaev, NG
    THEORY OF PROBABILITY AND ITS APPLICATIONS, 1997, 41 (04) : 761 - 768
  • [6] On a Class of Optimal Stopping Problems with Mixed Constraints
    Bruss, F. Thomas
    DISCRETE MATHEMATICS AND THEORETICAL COMPUTER SCIENCE, 2010, 12 (02): : 363 - 380
  • [7] The shape of the value function under Poisson optimal stopping
    Hobson, David
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2021, 133 : 229 - 246
  • [8] A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading
    Colaneri, Katia
    De Angelis, Tiziano
    MATHEMATICS OF OPERATIONS RESEARCH, 2021,
  • [9] Optimal stopping under g-expectation with constraints
    Wu, Helin
    OPERATIONS RESEARCH LETTERS, 2013, 41 (02) : 164 - 171
  • [10] Optimal stopping and constraints for diffusion models of signals with discontinuities
    Girdziusas, R
    Laaksonen, J
    MACHINE LEARNING: ECML 2005, PROCEEDINGS, 2005, 3720 : 576 - 583
12345