Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon

DOI10.1214/21-EJP733zbMath1496.60037arXiv2009.01276OpenAlexW3082851652MaRDI QIDQ2076659

Tiziano De Angelis

Publication date: 22 February 2022

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.01276

zbMATH Keywords

optimal stoppinglocal timefree boundary problemsone-dimensional diffusionscontinuous boundarysmooth-fit

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Free boundary problems for PDEs (35R35)

Related Items (2)

Optimal dividend payout under stochastic discounting ⋮ Analysis of the optimal exercise boundary of American put options with delivery lags

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