Monotone stopping problems and continuous time processes

DOI10.1007/BF00534881zbMath0414.60051MaRDI QIDQ3049600

Albrecht Irle

Publication date: 1979

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingstopping timestochastic processsupermartingale

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (9)

Optimal stopping for extremal processes ⋮ A general method for finding the optimal threshold in discrete time ⋮ A Construction Scheme of the Minimal Dominating Supermartingale arising in the Discrete Parameter Optimal Stopping Problems ⋮ An effective method for the explicit solution of sequential problems on the real line ⋮ The monotone case approach for the solution of certain multidimensional optimal stopping problems ⋮ Monotone stopping rules forstochastic processes in a semimartingale representation with applications ⋮ Discussion on “An effective method for the explicit solution of sequential problems on the real line” by Sören Christensen ⋮ The monotone condition for optimal multiple stopping problems ⋮ Generalized parking problems for levy processes

Cites Work

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• On Extreme Order Statistics
• Extremal Processes
• Continuous parameter optimal stopping problems
• [https://portal.mardi4nfdi.de/wiki/Publication:5646185 Th�orie des processus stochastiques g�n�raux applications aux surmartingales]

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