Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions

DOI10.1080/17442508.2013.837467zbMath1306.60040arXiv1302.0712OpenAlexW1982444824MaRDI QIDQ2875279

Fabián Crocce, Ernesto Mordecki

Publication date: 14 August 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.0712

zbMATH Keywords

optimal stoppingdiffusion processessmooth-fit principle

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimal stopping in statistics (62L15)

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