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.
Citation
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
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