Bernoulli

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

On randomized stopping

István Gyöngy and David Šiška

Full-text: Open access

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


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References

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