Principle of smooth fit and diffusions with angles

DOI10.1080/17442500601040461zbMath1110.60041OpenAlexW2108884032MaRDI QIDQ3429346

Goran Peskir

Publication date: 30 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500601040461

Mathematics Subject Classification ID

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

Related Items (9)

Diffusion spiders: Green kernel, excessive functions and optimal stopping ⋮ Optimal stopping of oscillating Brownian motion ⋮ Nonzero-sum games of optimal stopping for Markov processes ⋮ Discretionary stopping of stochastic differential equations with generalised drift ⋮ One-sided solutions for optimal stopping problems with logconcave reward functions ⋮ Time-Randomized Stopping Problems for a Family of Utility Functions ⋮ A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs ⋮ On the Compensator in the Doob--Meyer Decomposition of the Snell Envelope ⋮ Optimal stopping of one-dimensional diffusions with integral criteria

Cites Work

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• Reward functionals, salvage values, and optimal stopping
• Local times, optimal stopping and semimartingales
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• On the optimal stopping problem for one-dimensional diffusions.
• Optimal Stopping of One-Dimensional Diffusions
• On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
• Optimal stopping problems for Brownian motion
• BOUNDARY THEORY OF MARKOV PROCESSES (THE DISCRETE CASE)

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