Risk sensitive optimal stopping

被引：7

作者：

Jelito, Damian ^{[1
]}

Pitera, Marcin ^{[1
]}

Stettner, Lukasz ^{[2
]}

机构：

[1] Jagiellonian Univ, Inst Math, Krakow, Poland

[2] Polish Acad Sci, Inst Math, Warsaw, Poland

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2021年 / 136卷

关键词：

Optimal stopping; Bellman equation; Risk sensitive control; Risk sensitive criterion; Impulse control; IMPULSE CONTROL-PROBLEMS; FUNCTIONALS; TIME;

D O I：

10.1016/j.spa.2021.03.005

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we consider continuous time risk sensitive optimal stopping problem. Using the probabilistic approach and dyadic discrete time approximations we prove continuity of the generic optimal stopping value function for a large class of Feller-Markov processes. Also, we provide formulas for the corresponding optimal stopping policies and study regularity of approximating functions. (C) 2021 Elsevier B.V. All rights reserved.

引用

页码：125 / 144

页数：20

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