Time-Randomized Stopping Problems for a Family of Utility Functions
DOI10.1137/130946800zbMath1339.60044OpenAlexW382456358MaRDI QIDQ2810982
Publication date: 7 June 2016
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: http://eprints.nottingham.ac.uk/32709/
optimal stoppingrandomizationboundary value problemPoisson processutility functionsgeometric Brownian motionnumerical approximations
Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Linear boundary value problems for ordinary differential equations (34B05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Optimal stopping in statistics (62L15)
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