Nested variational inequalities and related optimal starting–stopping problems

DOI10.2307/3214795zbMath0763.93080OpenAlexW4248999540MaRDI QIDQ3992290

No author found.

Publication date: 13 August 1992

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214795

zbMATH Keywords

stochastic differential equationsdiffusion modelstarting-stopping problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Probabilistic games; gambling (91A60)

Related Items (4)

Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs ⋮ Nested variational inequalities and related optimal multiple startingstopping problems for symmetric Markov processes ⋮ Optimal Stopping Problem with Controlled Recall ⋮ OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT

This page was built for publication: Nested variational inequalities and related optimal starting–stopping problems