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2019 Stopping with expectation constraints: 3 points suffice
Stefan Ankirchner, Nabil Kazi-Tani, Maike Klein, Thomas Kruse
Electron. J. Probab. 24: 1-16 (2019). DOI: 10.1214/19-EJP309

Abstract

We consider the problem of optimally stopping a one-dimensional regular continuous strong Markov process with a stopping time satisfying an expectation constraint. We show that it is sufficient to consider only stopping times such that the law of the process at the stopping time is a weighted sum of 3 Dirac measures. The proof uses recent results on Skorokhod embeddings in order to reduce the stopping problem to a linear optimization problem over a convex set of probability measures.

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Stefan Ankirchner. Nabil Kazi-Tani. Maike Klein. Thomas Kruse. "Stopping with expectation constraints: 3 points suffice." Electron. J. Probab. 24 1 - 16, 2019. https://doi.org/10.1214/19-EJP309

Information

Received: 23 September 2018; Accepted: 29 April 2019; Published: 2019
First available in Project Euclid: 28 June 2019

zbMATH: 07089004
MathSciNet: MR3978216
Digital Object Identifier: 10.1214/19-EJP309

Subjects:
Primary: 60B05, 60G40, 60J60

JOURNAL ARTICLE
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