Martingale approach to stochastic control with discretionary stopping
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Publication:2502186
DOI10.1007/s00245-005-0841-2zbMath1136.93047OpenAlexW2130933904MaRDI QIDQ2502186
Ingrid-Mona Zamfirescu, Ioannis Karatzas
Publication date: 12 September 2006
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-005-0841-2
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Optimality conditions for problems involving randomness (49K45)
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