Constructing time-homogeneous generalized diffusions consistent with optimal stopping values

DOI10.1080/17442508.2010.522237zbMath1245.60046arXiv1005.0160OpenAlexW1974241948MaRDI QIDQ3108376

Martin Klimmek, David G. Hobson

Publication date: 3 January 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.0160

zbMATH Keywords

generalized convexityoptimal stoppinggeneralized diffusionsinverse American option problem

Mathematics Subject Classification ID

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

Related Items (3)

Parameter Dependent Optimal Thresholds, Indifference Levels and Inverse Optimal Stopping Problems ⋮ MODEL-INDEPENDENT NO-ARBITRAGE CONDITIONS ON AMERICAN PUT OPTIONS ⋮ An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint

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