Xin Zhang

Distribution-constrained maximum stopping of maximum type

We consider the distribution-constrained optimal stopping problem $\sup_{\tau\sim \mu} \mathbb E[B^*_\tau]$, where $\mu$ is a probability distribution on $\mathbb R_+$, and $(B^*_t)$ denotes the running maximum of a standard Brownian motion. This problem was introduced in Beiglbock et al. (PTRF, 2018), where a monotoni...