Linear programming approach to the optimal stopping of singular stochastic processes

DOI10.1080/17442500600976814zbMath1110.60038OpenAlexW1993558670MaRDI QIDQ3429348

Richard H. Stockbridge, Kurt Helmes

Publication date: 30 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500600976814

Mathematics Subject Classification ID

Linear programming (90C05) Stopping times; optimal stopping problems; gambling theory (60G40) Local time and additive functionals (60J55)

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