A Dynamic Programming Principle for Distribution-Constrained Optimal Stopping

Sigrid K\"allblad

Papers from arXiv.org

Abstract: We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an initial condition and view the problem as a stochastic control problem; we establish the corresponding dynamic programming principle.

Date: 2017-03
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