Risk sensitive optimal stopping

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:136

Article

Jelito, Damian¹  Pitera, Marcin¹  Stettner, Lukasz² 

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

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

关键词: Optimal stopping;    Bellman equation;    Risk sensitive control;    Risk sensitive criterion;    Impulse control;   

DOI  :  10.1016/j.spa.2021.03.005

来源: Elsevier

【 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.

【 授权许可】

Free