On differentiability of reward functionals corresponding to Markovian randomized stopping times

Autor:	Schultz, Boy
Rok vydání:	2024
Předmět:	Mathematics - Probability 60G40 (Primary) 60J35 60J55 (Secondary)
Druh dokumentu:	Working Paper
Popis:	We conduct an investigation of the differentiability and continuity of reward functionals associated to Markovian randomized stopping times. Our focus is mostly on the differentiability, which is a crucial ingredient for a common approach to derive analytic expressions for the reward function.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2411.11393 Zobrazit plný text záznamu View this record from Arxiv