On randomized stopping
István Gyöngy and David Šiška
Source: Bernoulli Volume 14, Number 2 (2008), 352-361.
Abstract
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.
Keywords: controlled diffusion processes; optimal stopping
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.bj/1208872108
Digital Object Identifier: doi:10.3150/07-BEJ108
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