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

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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.

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Authors and Affiliations

  1. Mathematisches Institut, Heinrich-Heine-Universität Düsseldorf, Universitätsstr. 1, D-40225 Düsseldorf, Germany (e-mail: balzer@uni-duesseldorf.de), DE

    Thomas Balzer & Klaus Janßen

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  1. Thomas Balzer
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  2. Klaus Janßen
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Manuscript received: July 2001/Final version received: December 2001

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Balzer, T., Janßen, K. A duality approach to problems of combined stopping and deciding under constraints. Mathematical Methods of OR 55, 431–446 (2002). https://doi.org/10.1007/s001860200195

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  • DOI: https://doi.org/10.1007/s001860200195

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