Risk sensitive optimal stopping
نویسندگان
چکیده
In this paper we consider continuous time risk sensitive optimal stopping problem. Using the probabilistic approach and dyadic discrete approximations prove continuity of generic value function for a large class Feller-Markov processes. Also, provide formulas corresponding policies study regularity approximating functions.
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2021
ISSN: ['1879-209X', '0304-4149']
DOI: https://doi.org/10.1016/j.spa.2021.03.005