An asymptotic expansion for the optimal stopping boundary in problems with non-linear costs of observation

DOI10.1239/JAP/996986644zbMath0981.60050OpenAlexW2082387326MaRDI QIDQ2731152

Olaf Kubillus, Albrecht Irle, Volkert Paulsen

Publication date: 14 March 2002

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

Full work available at URL: https://doi.org/10.1239/jap/996986644

zbMATH Keywords

asymptotic behaviorWiener processoptimal stoppingnonlinear boundary

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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Asymptotics of the boundaries in one non-linear optimal stopping problem

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