On the properties of \(r\)-excessive mappings for a class of diffusions
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Publication:1429116
DOI10.1214/aoap/1069786509zbMath1072.60065OpenAlexW2083096487MaRDI QIDQ1429116
Publication date: 30 March 2004
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1069786509
Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimal stopping in statistics (62L15)
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Cites Work
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- Choosing among alternative discrete investment projects under uncertainty
- Exit strategies and price uncertainty: A Greenian approach
- On the option interpretation of rational harvesting planning
- Singular Stochastic Control, Linear Diffusions, and Optimal Stopping: A Class of Solvable Problems
- Optimal Stopping of One-Dimensional Diffusions
- A class of solvable singular stochastic control problems
- Stochastic differential equations. An introduction with applications.
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