Optimal Stopping and the Sufficiency of Randomized Threshold Strategies


In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping problems beyond this paradigm in which the... [ view full abstract ]


  1. David Hobson (University of Warwick)
  2. Matthew Zeng (warwic)
  3. Vicky Henderson (University of Warwick)

Topic Area

Optimal Stopping


TU-A-SY » Optimal Stopping (11:30 - Tuesday, 17th July, Synge)

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