Reward functionals, salvage values, and optimal stopping
From MaRDI portal
Publication:1397015
DOI10.1007/s001860100161zbMath1018.60045OpenAlexW2050333050MaRDI QIDQ1397015
Publication date: 16 July 2003
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s001860100161
Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimal stopping in statistics (62L15)
Related Items (30)
Exit option for a class of profit functions ⋮ A class of solvable stopping games ⋮ Optimal stopping with information constraint ⋮ On an irreversible investment problem with two-factor uncertainty ⋮ An algorithm to solve optimal stopping problems for one-dimensional diffusions ⋮ Harvesting and recovery decisions under uncertainty ⋮ Threshold stopping rules for diffusion processes and Stefan's problem ⋮ Optimal stopping with random exercise lag ⋮ Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls ⋮ A zero-sum Poisson stopping game with asymmetric signal rates ⋮ Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time ⋮ Optimality of Threshold Stopping Times for Diffusion Processes ⋮ Wicksellian theory of forest rotation under interest rate variability ⋮ Construction of the Value Function and Optimal Rules in Optimal Stopping of One-Dimensional Diffusions ⋮ PREVENTION OF CATASTROPHIC FAILURES WITH WEAK FOREWARNING SIGNALS ⋮ Parameter Dependent Optimal Thresholds, Indifference Levels and Inverse Optimal Stopping Problems ⋮ On infinite horizon optimal stopping of general random walk ⋮ A note on optimal stopping of diffusions with a two-sided optimal rule ⋮ Switching tax structure and payouts in endogenous bankruptcy models ⋮ Optimal payout policy in presence of downside risk ⋮ Optimal strategies in a risky debt context ⋮ Optimal switch from a fossil-fueled to an electric vehicle ⋮ On the structure of discounted optimal stopping problems for one-dimensional diffusions ⋮ The absence of attrition in a war of attrition under complete information ⋮ Some results on optimal stopping under phase-type distributed implementation delay ⋮ On the optimal stopping problem for one-dimensional diffusions. ⋮ Principle of smooth fit and diffusions with angles ⋮ The solution to a second order linear ordinary differential equation with a non-homogeneous term that is a measure ⋮ Threshold Strategies in Optimal Stopping Problem for One-Dimensional Diffusion Processes ⋮ Resolvent-techniques for multiple exercise problems
This page was built for publication: Reward functionals, salvage values, and optimal stopping
