Orateur
Stefan Ankirchner
(University of jena)
Description
The talk is about optimal stopping with the contraint that the expectation of any stopping time has to be bounded by a given constant. We show that by introducing a new state variable one can derive a dynamic programming principle. This allows to characterize the value function as the solution of a PDE and to obtain a verification theorem.
Finally we compare our approach with alternative solution methods and discuss some examples.
Auteur principal
Stefan Ankirchner
(University of jena)
