A Dynamic Programming Principle for Distribution-Constrained Optimal Stopping
Optimization and Control
2017-03-27 v1 Mathematical Finance
Abstract
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to transform the marginal constraint into an initial condition and view the problem as a stochastic control problem; we establish the corresponding dynamic programming principle.
Cite
@article{arxiv.1703.08534,
title = {A Dynamic Programming Principle for Distribution-Constrained Optimal Stopping},
author = {Sigrid Källblad},
journal= {arXiv preprint arXiv:1703.08534},
year = {2017}
}