On randomized stopping

Istvan Gyongy; David Siska

doi:10.3150/07-BEJ108

On randomized stopping

Istvan Gyongy, David Siska

School of Mathematics

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	352-361
Number of pages	10
Journal	Bernoulli - Journal of the Bernoulli Society (Bernoulli)
Volume	14
Issue number	2
DOIs	https://doi.org/10.3150/07-BEJ108
Publication status	Published - May 2008

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10.3150/07-BEJ108

On randomized stoppingFinal published version, 99.6 KB

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

Cite this

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title = "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.",

author = "Istvan Gyongy and David Siska",

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DO - 10.3150/07-BEJ108

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JO - Bernoulli - Journal of the Bernoulli Society (Bernoulli)

JF - Bernoulli - Journal of the Bernoulli Society (Bernoulli)

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