1-4 September 2015
Angers - France
Europe/Paris timezone

On optimal stopping with expectation constraints

4 Sep 2015, 14:30
30m
Angers - France

Angers - France

Speaker

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.

Primary author

Stefan Ankirchner (University of jena)

Presentation Materials