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On randomized stopping. (English) Zbl 1157.60316

Summary: A general result on the method of randomized stopping is proved. It is applied to optimal stopping of controlled diffusion processes with unbounded coefficients to reduce it to an optimal control problem without stopping. This is motivated by recent results of N. V. Krylov [Probab. Theory Relat. Fields 117, No. 1, 1–16 (2000; Zbl 0971.65081); Appl. Math. Optimization 56, No. 1, 37–66 (2007; Zbl 1127.65068)] on numerical solutions to the Bellman equation.

MSC:

60G40 Stopping times; optimal stopping problems; gambling theory
60J60 Diffusion processes
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References:

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