On the time consistent solution to optimal stopping problems with expectation constraint
Probability
2024-06-14 v2 Optimization and Control
Abstract
We study the (weak) equilibrium problem arising from the problem of optimally stopping a one-dimensional diffusion subject to an expectation constraint on the time until stopping. The weak equilibrium problem is realized with a set of randomized but purely state dependent stopping times as admissible strategies. We derive a verification theorem and necessary conditions for equilibria, which together basically characterize all equilibria. Furthermore, additional structural properties of equilibria are obtained to feed a possible guess-and-verify approach, which is then illustrated by an example.
Cite
@article{arxiv.2311.05378,
title = {On the time consistent solution to optimal stopping problems with expectation constraint},
author = {Sören Christensen and Maike Klein and Boy Schultz},
journal= {arXiv preprint arXiv:2311.05378},
year = {2024}
}