Optimality of Threshold Stopping Times for Diffusion Processes

DOI10.1137/S0040585X97T989994zbMath1472.60134MaRDI QIDQ5131236

Vadim I. Arkin

Publication date: 5 November 2020

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

zbMATH Keywords

optimal stoppingdiffusion processesfree-boundary problemthreshold stopping time

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the optimal stopping of a one-dimensional diffusion
• Gittins indices in the dynamic allocation problem for diffusion processes
• Reward functionals, salvage values, and optimal stopping
• On the properties of \(r\)-excessive mappings for a class of diffusions
• On the optimal stopping problem for one-dimensional diffusions.
• Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions
• A Variational Approach to Optimal Stopping Problems for Diffusion Processes
• Threshold Strategies in Optimal Stopping Problem for One-Dimensional Diffusion Processes
• On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
• On an Effective Solution of the Optimal Stopping Problem for Random Walks

This page was built for publication: Optimality of Threshold Stopping Times for Diffusion Processes