On the existence of solutions of unbounded optimal stopping problems
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Publication:492193
DOI10.1134/S0081543814080185zbMath1337.60077OpenAlexW2080374567MaRDI QIDQ492193
Mikhail Zhitlukhin, Albert N. Shiryaev
Publication date: 20 August 2015
Published in: Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s0081543814080185
Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)
Related Items (2)
Optimal stopping time on discounted semi-Markov processes ⋮ A Bayesian sequential test for the drift of a fractional Brownian motion
Cites Work
- On Chernoff's Hypotheses Testing Problem for the Drift of a Brownian Motion
- Sequential Tests for the Mean of a Normal Distribution II (Large $t$)
- Sequential Test for the Mean of a Normal Distribution III (Small $t$)
- Sequential Tests for the Mean of a Normal Distribution IV (Discrete Case)
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