Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function

DOI10.1239/jap/1165505202zbMath1146.60036OpenAlexW1966622275MaRDI QIDQ5441517

Anne Laure Bronstein, Lane P. Hughston, Mihail Zervos, Martijn R. Pistorius

Publication date: 15 February 2008

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

Full work available at URL: https://doi.org/10.1239/jap/1165505202

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic systems in control theory (general) (93E03)

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