| Article ID: | iaor20032576 |
| Country: | Germany |
| Volume: | 55 |
| Issue: | 3 |
| Start Page Number: | 431 |
| End Page Number: | 446 |
| Publication Date: | Jan 2002 |
| Journal: | Mathematical Methods of Operations Research (Heidelberg) |
| Authors: | Balzer T., Janen K. |
| Keywords: | duality |
A problem of combined stopping and deciding under constraints for continuous-time processes on a Brownian filtration is considered. Under certain regularity conditions on the admissible class of stopping times and decision processes it is possible to show that there is no duality gap between the primal constrained optimization problem and the dual problem involving unconstrained minimization and a maximization over Lagrangian multipliers.