On the threshold strategies in optimal stopping problems for diffusion processes

DOI10.1017/jpr.2017.44zbMath1400.60051OpenAlexW2755373000MaRDI QIDQ4684901

Vadim I. Arkin, Alexander D. Slastnikov

Publication date: 26 September 2018

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

Full work available at URL: https://doi.org/10.1017/jpr.2017.44

zbMATH Keywords

optimal stoppingdiffusion processstopping setthreshold structure

Mathematics Subject Classification ID

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

Related Items (2)

On optimal threshold stopping times for Ito diffusions ⋮ A general approximation method for optimal stopping and random delay

Cites Work

• On the optimal stopping of a one-dimensional diffusion
• On the optimal stopping problem for one-dimensional diffusions.
• Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions
• Threshold Strategies in Optimal Stopping Problem for One-Dimensional Diffusion Processes
• On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
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