On randomized stopping

Details On randomized stopping On randomized stopping

2007-05-16

arxiv.org/abs/0705.2302v2

Bernoulli 2008, Vol. 14, No. 2, 352-361

Mathematics

Probability

Published in at http://dx.doi.org/10.3150/07-BEJ108 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/07-BEJ108

A general result on the method of randomized stopping is proved. It is
applied to optimal stopping of controlled diffusion processes with unbounded
coefficients to reduce it to an optimal control problem without stopping. This
is motivated by recent results of Krylov on numerical solutions to the Bellman
equation.

Affiliated with

Also associated with

No associations

Rating

On randomized stopping does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On randomized stopping, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On randomized stopping will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-670211