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A Variational Approach to Optimal Stopping Problems for Diffusion Processes - MaRDI portal

A Variational Approach to Optimal Stopping Problems for Diffusion Processes

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Publication:3556738

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DOI10.1137/S0040585X97983766zbMath1191.60054MaRDI QIDQ3556738

Alexander D. Slastnikov, Vadim I. Arkin

Publication date: 26 April 2010

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

optimal stopping diffusion process Stefan problem variational approach smooth pasting two-dimensional geometric Brownian motion

Mathematics Subject Classification ID

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

Related Items (5)

On optimal threshold stopping times for Ito diffusions ⋮ Threshold stopping rules for diffusion processes and Stefan's problem ⋮ Optimality of Threshold Stopping Times for Diffusion Processes ⋮ A Mathematical Model of Investment Incentives ⋮ Threshold Strategies in Optimal Stopping Problem for One-Dimensional Diffusion Processes

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