Optimal Stopping in Continuous Time

Tomas Bjork, Mariana Khapko () and Agatha Murgoci ()
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Mariana Khapko: University of Toronto
Agatha Murgoci: Ørsted

Chapter Chapter 22 in Time-Inconsistent Control Theory with Finance Applications, 2021, pp 227-236 from Springer

Abstract: Abstract In this chapter we provide a brief summary of optimal stopping in continuous time. Our objective here is simply to present some of the main ideas and arguments. We will often sweep technical problems (mostly concerning regularity) under the carpet. The continuous-time case is technically a much more complicated subject than the discrete-time theory discussed in Chap. 21 . We refer the reader to the literature referenced in the Notes at the end of this chapter for technical details and proofs, as well as more precise formulations.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-030-81843-2_22

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DOI: 10.1007/978-3-030-81843-2_22

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