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Distribution‐constrained optimal stopping
dc.contributor.authorBayraktar, Erhan
dc.contributor.authorMiller, Christopher W.
dc.date.accessioned2019-01-15T20:24:37Z
dc.date.available2020-03-03T21:29:35Zen
dc.date.issued2019-01
dc.identifier.citationBayraktar, Erhan; Miller, Christopher W. (2019). "Distribution‐constrained optimal stopping." Mathematical Finance 29(1): 368-406.
dc.identifier.issn0960-1627
dc.identifier.issn1467-9965
dc.identifier.urihttps://hdl.handle.net/2027.42/146860
dc.description.abstractWe solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time’s distribution is a given measure consisting of finitely many atoms. In particular, we show that this problem can be converted to a finite sequence of state‐constrained optimal control problems with additional states corresponding to the conditional probability of stopping at each possible terminal time. The proof of this correspondence relies on a new variation of the dynamic programming principle for state‐constrained problems, which avoids measurable selections. We emphasize that distribution constraints lead to novel and interesting mathematical problems on their own, but also demonstrate an application in mathematical finance to model‐free superhedging with an outlook on volatility.
dc.publisherCambridge University Press
dc.publisherWiley Periodicals, Inc.
dc.subject.otheroptimal control
dc.subject.otherrobust hedging with a volatility outlook
dc.subject.otherstate constraints
dc.subject.otheroptimal stopping
dc.subject.otherdistribution constraints
dc.titleDistribution‐constrained optimal stopping
dc.typeArticleen_US
dc.rights.robotsIndexNoFollow
dc.subject.hlbsecondlevelMathematics
dc.subject.hlbsecondlevelFinance
dc.subject.hlbtoplevelScience
dc.subject.hlbtoplevelBusiness and Economics
dc.description.peerreviewedPeer Reviewed
dc.description.bitstreamurlhttps://deepblue.lib.umich.edu/bitstream/2027.42/146860/1/mafi12171_am.pdf
dc.description.bitstreamurlhttps://deepblue.lib.umich.edu/bitstream/2027.42/146860/2/mafi12171.pdf
dc.identifier.doi10.1111/mafi.12171
dc.identifier.sourceMathematical Finance
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dc.owningcollnameInterdisciplinary and Peer-Reviewed


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