A dynamic programming approach to distribution-constrained optimal stopping
Author:
Affiliation:
1. Department of Mathematics, Royal Institute of Technology
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference38 articles.
1. Dawson, D. A. (1993). Measure-valued Markov processes. In École D’Été de Probabilités de Saint-Flour XXI—1991. Lecture Notes in Math. 1541 1–260. Springer, Berlin.
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3. CLAISSE, J., TALAY, D. and TAN, X. (2016). A pseudo-Markov property for controlled diffusion processes. SIAM J. Control Optim. 54 1017–1029.
4. NUTZ, M. and VAN HANDEL, R. (2013). Constructing sublinear expectations on path space. Stochastic Process. Appl. 123 3100–3121.
5. ŽITKOVIĆ, G. (2014). Dynamic programming for controlled Markov families: Abstractly and over martingale measures. SIAM J. Control Optim. 52 1597–1621.
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