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A duality approach to problems of combined stopping and deciding under constraints

Author

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  • Thomas Balzer
  • Klaus Janßen

Abstract

A problem of combined stopping and deciding under constraints for continuous-time processes on a Brownian filtration is considered. Under certain regularity conditions on the admissible class of stopping times and decision processes it is possible to show that there is no duality gap between the primal constrained optimization problem and the dual problem involving unconstrained minimization and a maximization over Lagrangian multipliers. Copyright Springer-Verlag Berlin Heidelberg 2002

Suggested Citation

  • Thomas Balzer & Klaus Janßen, 2002. "A duality approach to problems of combined stopping and deciding under constraints," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 55(3), pages 431-446, June.
    • Handle: RePEc:spr:mathme:v:55:y:2002:i:3:p:431-446
    DOI: 10.1007/s001860200195
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    Cited by:

    1. Andrew McClellan, 2022. "Experimentation and Approval Mechanisms," Econometrica, Econometric Society, vol. 90(5), pages 2215-2247, September.

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