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Stable stopping

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  • Treviño Aguilar Erick

Abstract

We discuss a general framework of optimal stopping under constraints. We extend the Snell envelope and the characterization of optimal stopping times to our framework with constraints and give a condition which ensures the existence of a right-continuous version. We then study non-constrained stopping problems which are penalized with Lagrange multipliers. We are going to see that this family of problems approximate the expected reward of the constrained problem and allow us to construct optimal stopping times.

Suggested Citation

  • Treviño Aguilar Erick, 2012. "Stable stopping," Statistics & Risk Modeling, De Gruyter, vol. 29(2), pages 155-174, June.
    • Handle: RePEc:bpj:strimo:v:29:y:2012:i:2:p:155-174:n:1
    DOI: 10.1524/strm.2012.1085
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    References listed on IDEAS

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    1. Daniel Egloff & Markus Leippold, 2009. "The Valuation of American Options with Stochastic Stopping Time Constraints," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(3), pages 287-305.
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