On Characterizing Integral Stopping Time Functionals on Diffusions as Solutions to Boundary Value Problems

DOI10.1081/SAP-200044480zbMath1070.60038WikidataQ126243313 ScholiaQ126243313MaRDI QIDQ4678754

David F. Miller

Publication date: 23 May 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

integral functionalsFourier transformsexit times

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Exit time moments, boundary value problems, and the geometry of domains in Euclidean space
• Diffusions and Elliptic Operators
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