On randomized stopping
Gyöngy, István ; Šiška, David
Bernoulli, Tome 14 (2008) no. 1, p. 352-361 / Harvested from Project Euclid
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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.
Publié le : 2008-05-15
Classification:  controlled diffusion processes,  optimal stopping 
@article{1208872108,
     author = {Gy\"ongy, Istv\'an and \v Si\v ska, David},
     title = {On randomized stopping},
     journal = {Bernoulli},
     volume = {14},
     number = {1},
     year = {2008},
     pages = { 352-361},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1208872108}
}

Gyöngy, István; Šiška, David. On randomized stopping. Bernoulli, Tome 14 (2008) no. 1, pp.  352-361. http://gdmltest.u-ga.fr/item/1208872108/