The shape of the value function under Poisson optimal stopping

DOI10.1016/j.spa.2020.12.001zbMath1466.60084arXiv2003.03834OpenAlexW3112970775MaRDI QIDQ1994915

David G. Hobson

Publication date: 18 February 2021

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

Full work available at URL: https://arxiv.org/abs/2003.03834

zbMATH Keywords

diffusion processcouplingtime-changemonotonicity and convexityPoisson optimal stopping

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (1)

A zero-sum Poisson stopping game with asymmetric signal rates

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