On general optimal stopping problems using penalty method
Abstract: 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.
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Bibliographic citation
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On general optimal stopping problems using penalty method ; volume:45 ; number:2 ; year:2012 ; pages:309-323 ; extent:15
Demonstratio mathematica ; 45, Heft 2 (2012), 309-323 (gesamt 15)
- Creator
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Stettner, Ł.
- DOI
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10.1515/dema-2013-0385
- URN
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urn:nbn:de:101:1-2411171635417.168736623653
- Rights
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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15.08.2025, 7:24 AM CEST
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Associated
- Stettner, Ł.
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