2007/05/31 by Istvan Gyongy, István Gyöngy, David Šiška +1 · 2 citations
Business, Management and Accounting · Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Advanced Queuing Theory Analysis #Probability and Risk Models #Stochastic processes and financial applications #math.OC #math.PR
paper · pdf · doi:10.3150/07-bej108
published as Bernoulli 2008, Vol. 14, No. 2, 352-361 · Published in at http://dx.doi.org/10.3150/07-BEJ108 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)
openalex publication_date 2008/04/24 · arxiv created 2008/05/15 · arxiv updated 2009/12/01 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28
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.