On randomized stopping
Probability
2008-05-15 v2 Optimization and Control
Abstract
A general result on the method of randomized stopping is proved. It is applied to optimal stopping of controlled diffusion processes with unbounded coefficients to reduce it to an optimal control problem without stopping. This is motivated by recent results of Krylov on numerical solutions to the Bellman equation.
Cite
@article{arxiv.0705.2302,
title = {On randomized stopping},
author = {Istvan Gyongy and David Siska},
journal= {arXiv preprint arXiv:0705.2302},
year = {2008}
}