On differentiability of reward functionals corresponding to Markovian randomized stopping times
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arXiv
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| Main Author: | |
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866910703028273152 |
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| author | Schultz, Boy |
| author_facet | Schultz, Boy |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2411_11393 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | On differentiability of reward functionals corresponding to Markovian randomized stopping times Schultz, Boy Probability 60G40 (Primary) 60J35, 60J55 (Secondary) 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. |
| title | On differentiability of reward functionals corresponding to Markovian randomized stopping times |
| topic | Probability 60G40 (Primary) 60J35, 60J55 (Secondary) |
| url | https://arxiv.org/abs/2411.11393 |