A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions

DOI10.1137/13090941XzbMath1301.60053arXiv1302.4181MaRDI QIDQ2930955

Luis H. R. Alvarez, Pekka Matomäki, Teppo A. Rakkolainen

Publication date: 21 November 2014

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.4181

zbMATH Keywords

optimal stoppingnonlinear programmingjump diffusionscertainty equivalence

Mathematics Subject Classification ID

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

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