Solving optimal stopping problems of linear diffusions by applying convolution approximations

DOI10.1007/S001860000098zbMath1018.60044OpenAlexW2027196449MaRDI QIDQ1396959

Luis H. R. Alvarez

Publication date: 15 July 2003

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860000098

zbMATH Keywords

exponential distributionoptimal stoppinglinear diffusionsconvolution approximation

Mathematics Subject Classification ID

Variational inequalities (49J40) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (3)

On the perpetual American put options for level dependent volatility models with jumps ⋮ Optimal Stopping Problem Associated with Jump-diffusion Processes ⋮ A Dynkin game with asymmetric information

This page was built for publication: Solving optimal stopping problems of linear diffusions by applying convolution approximations