Optimal Prediction of the Last-Passage Time of a Transient Diffusion

DOI10.1137/130950719zbMath1312.60045arXiv1312.7342OpenAlexW2911512264MaRDI QIDQ5244641

Hardy Hulley, Kristoffer J. Glover

Publication date: 27 March 2015

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.7342

zbMATH Keywords

optimal stoppingoptimal predictionfree-boundary problemslast-passage timestransient diffusions

Mathematics Subject Classification ID

Variational inequalities (49J40) Brownian motion (60J65) Nonlinear ordinary differential equations and systems (34A34) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Free boundary problems for PDEs (35R35)

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