Solving non–linear optimal stopping problems by the method of time–change (Q4518329)
From MaRDI portal
scientific article; zbMATH DE number 1533066
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Solving non–linear optimal stopping problems by the method of time–change |
scientific article; zbMATH DE number 1533066 |
Statements
Solving non–linear optimal stopping problems by the method of time–change (English)
0 references
6 February 2001
0 references
nonlinear stopping problem
0 references
diffusion
0 references
time change
0 references
Brownian motion
0 references
Ornstein-Uhlenbeck process
0 references
Bessel process
0 references
free-boundary problem
0 references
smooth fit principle
0 references
