On general optimal stopping problems using penalty method

• Autorzy: Stettner Ł.
• Języki publikacji: EN

Abstrakty

EN

In the paper we use penalty method to approximate a number of general stopping problems over finite horizon. We consider optimal stopping of discrete time or right continuous stochastic processes, and show that suitable version of Snell's envelope can by approximated by solutions to penalty equations. Then we study optimal stopping problem for Markov processes on a general Polish space, and again show that the optimal stopping value function can be approximated by a solution to a Markov version of the penalty equation.

Słowa kluczowe

EN

stopping times; stochastic processes; Markov processes; Polish spaces; penalty equations

• Wydawca: De Gruyter
• Czasopismo: Demonstratio Mathematica
• Rocznik: 2012
• Tom: Vol. 45, nr 2
• Strony: 309--323
• Opis fizyczny: Bibliogr. 15 poz.

Twórcy

autor

Stettner Ł.

• Institute Of Mathematics Polish Academy Of Sciences Sniadeckich 8 00-956 Warsaw,

Bibliografia

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