Optimal stopping of continuous time stochastic processes and stochastic differential representations for the value functions

DOI10.1007/BF00972013zbMath0431.60044MaRDI QIDQ1138296

M. A. Shashiashvili

Publication date: 1979

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingstochastic differential representations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (2)

Temps d'arrêt optimal des processus non bornes ⋮ Optimal stopping and a martingale approach to the penalty method

Cites Work

• Problemes de temps d’arret optimal et inequations variationnelles paraboliques
• Continuous parameter optimal stopping problems
• [https://portal.mardi4nfdi.de/wiki/Publication:5646185 Th�orie des processus stochastiques g�n�raux applications aux surmartingales]
• Dynamic Programming Conditions for Partially Observable Stochastic Systems
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