The monotone case approach for the solution of certain multidimensional optimal stopping problems

DOI10.1016/j.spa.2019.06.009zbMath1440.60034arXiv1705.01763OpenAlexW2953115594MaRDI QIDQ1986010

Sören Christensen, Albrecht Irle

Publication date: 7 April 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.01763

zbMATH Keywords

optimal stoppingDoob-Meyer decompositionoptimal investment problemPoisson disorder problemmonotone stopping rulesmultiple buying-selling

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Wiener disorder problem with finite horizon
• On optimal timing of investment when cost components are additive and follow geometric diffusions
• Optimal time to invest when the price processes are geometric Brownian motions
• Multidimensional investment problem
• Sum the odds to one and stop
• Optimal stopping of strong Markov processes
• On optimal stopping of multidimensional diffusions
• The standard Poisson disorder problem revisited
• On the optimal stopping problem for one-dimensional diffusions.
• An effective method for the explicit solution of sequential problems on the real line
• Monotone stopping rules forstochastic processes in a semimartingale representation with applications
• Monotone stopping problems and continuous time processes
• A harmonic function technique for the optimal stopping of diffusions
• The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
• Optimal stopping of Hunt and Lévy processes
• Optimal stopping via measure transformation: the Beibel–Lerche approach
• Optimal Stopping of One-Dimensional Diffusions
• MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
• Multiple buying or selling with vector offers
• A general method for finding the optimal threshold in discrete time
• What is Known About Robbins' Problem?
• The Sum-the-Odds Theorem with Application to a Stopping Game of Sakaguchi
• Optimal Time to Exchange Two Baskets
• On optimal stopping rules
• Infinitesimal Look-Ahead Stopping Rules
• Discussion on “An effective method for the explicit solution of sequential problems on the real line” by Sören Christensen

This page was built for publication: The monotone case approach for the solution of certain multidimensional optimal stopping problems