Solution of the Optimal Stopping Problem for One-Dimensional Diffusion Based on a Modification of the Payoff Function

DOI10.1007/978-3-642-33549-5_22zbMath1274.60135OpenAlexW11239694MaRDI QIDQ2838155

Ernst L. Presman

Publication date: 8 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-33549-5_22

zbMATH Keywords

optimal stoppingMarkov processMarkov chainelimination algorithmone-dimensional diffusion

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (3)

On optimal threshold stopping times for Ito diffusions ⋮ Timing in the presence of directional predictability: optimal stopping of skew Brownian motion ⋮ Optimal stopping of oscillating Brownian motion

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