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arxiv: 1703.08534 · v1 · pith:B3IRHPBLnew · submitted 2017-03-24 · 🧮 math.OC · q-fin.MF

A Dynamic Programming Principle for Distribution-Constrained Optimal Stopping

classification 🧮 math.OC q-fin.MF
keywords problemstoppingconstraintdynamicoptimalprincipleprogrammingallows
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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.

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