A duality approach to problems of combined stopping and deciding under constraints

Thomas Balzer and Klaus Janßen

Mathematical Methods of Operations Research, 2002, vol. 55, issue 3, 446 pages

Abstract: A problem of combined stopping and deciding under constraints for continuous-time processes on a Brownian filtration is considered. Under certain regularity conditions on the admissible class of stopping times and decision processes it is possible to show that there is no duality gap between the primal constrained optimization problem and the dual problem involving unconstrained minimization and a maximization over Lagrangian multipliers. Copyright Springer-Verlag Berlin Heidelberg 2002

Keywords: Key words: optimal stopping; duality; Lagrangian multipliers; problems with constraints; combined stopping and deciding (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1007/s001860200195

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