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Preprints, Working Papers, ... Year : 2017

Stopping with expectation constraints: 3 points suffice

Abstract

We consider the problem of optimally stopping a one-dimensional continuous-time Markov process with a stopping time satisfying an expectation constraint. We show that it is sufficient to consider only stopping times such that the law of the process at the stopping time is a weighted sum of 3 Dirac measures. The proof uses recent results on Skorokhod embeddings in order to reduce the stopping problem to a linear optimization problem over a convex set of probability measures.
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Dates and versions

hal-01525439 , version 1 (20-05-2017)

Identifiers

  • HAL Id : hal-01525439 , version 1

Cite

Stefan Ankirchner, Nabil Kazi-Tani, Maike Klein, Thomas Kruse. Stopping with expectation constraints: 3 points suffice. 2017. ⟨hal-01525439⟩
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