Optimal stopping of the maximum process: The maximality principle
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Publication:1307457
DOI10.1214/aop/1022855875zbMath0935.60025OpenAlexW1507815144MaRDI QIDQ1307457
Publication date: 4 May 2000
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1022855875
principle of smooth fitmaximality principleDoob and Hardy-Littlewood inequalitiesoptimal stopping boundary
Inequalities; stochastic orderings (60E15) Continuous-time Markov processes on general state spaces (60J25) Nonlinear ordinary differential equations and systems (34A34) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Boundary value problems for linear higher-order PDEs (35G15)
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