On an Optimal Stopping Problem for Multi-Parameter Diffusion Processes

DOI10.1080/02522667.1990.10699038zbMath0722.60039OpenAlexW2084700131MaRDI QIDQ3209937

Yuji Yoshida

Publication date: 1990

Published in: Journal of Information and Optimization Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02522667.1990.10699038

zbMATH Keywords

Bellman equationstopping timeoptimal stopping problemsmulti-parameter processoptimal tactic

Mathematics Subject Classification ID

Random fields (60G60) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Cites Work

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• Gittins indices in the dynamic allocation problem for diffusion processes
• On randomized tactics and optimal stopping in the plane
• Continuous multi-armed bandits and multiparameter processes
• Stopping for two-dimensional stochastic processes
• Discrete multiarmed bandits and multiparameter processes
• Two parameter optimal stopping and bi-Markov processes
• Extensions of the multiarmed bandit problem: The discounted case

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