6 citations · 17 across the 4 of their papers we have counts for
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math.OC2021★ 3 cited
Risk-sensitive optimal stopping with unbounded terminal cost function
Damian Jelito, Łukasz Stettner
In this paper we consider an infinite time horizon risk-sensitive optimal stopping problem for a Feller--Markov process with an unbounded terminal cost function. We show that in th…
math.OC2014★ 5 cited
Infinite horizon stopping problems with (nearly) total reward criteria
Jan Palczewski, Lukasz Stettner
We study an infinite horizon optimal stopping problem which arises naturally in the optimal timing of a firm/project sale or in the valuation of natural resources: the functional t…