Constrained optimal stopping, liquidity and effort

DOI10.1016/J.SPA.2019.10.010zbMath1494.60043arXiv1901.07270OpenAlexW2988026953WikidataQ126833271 ScholiaQ126833271MaRDI QIDQ2145802

David G. Hobson, Matthew Zeng

Publication date: 20 June 2022

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

Full work available at URL: https://arxiv.org/abs/1901.07270

zbMATH Keywords

optimal stoppingPoisson processliquidity

Mathematics Subject Classification ID

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

Related Items (2)

A zero-sum Poisson stopping game with asymmetric signal rates ⋮ Solutions for Poissonian stopping problems of linear diffusions via extremal processes

Cites Work

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• Stopping at the maximum of geometric Brownian motion when signals are received
• A Continuous-Time Version of the Principal–Agent Problem
• Optimal stopping with random intervention times

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