## Bernoulli

- Bernoulli
- Volume 14, Number 2 (2008), 352-361.

### On randomized stopping

#### 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.

#### Article information

**Source**

Bernoulli, Volume 14, Number 2 (2008), 352-361.

**Dates**

First available in Project Euclid: 22 April 2008

**Permanent link to this document**

https://projecteuclid.org/euclid.bj/1208872108

**Digital Object Identifier**

doi:10.3150/07-BEJ108

**Mathematical Reviews number (MathSciNet)**

MR2544091

**Zentralblatt MATH identifier**

1157.60316

**Keywords**

controlled diffusion processes optimal stopping

#### Citation

Gyöngy, István; Šiška, David. On randomized stopping. Bernoulli 14 (2008), no. 2, 352--361. doi:10.3150/07-BEJ108. https://projecteuclid.org/euclid.bj/1208872108