Optimal Stopping in a Markov Process

From MaRDI portal
Publication:5567483

DOI10.1214/aoms/1177698259zbMath0177.45702OpenAlexW2081751350MaRDI QIDQ5567483

Howard M. Taylor

Publication date: 1968

Published in: The Annals of Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoms/1177698259




Related Items (21)

Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricingExpenditure patterns and timing of patent protection in a competitive R \& D environmentCapital gains taxation and the lock-in effect: A probabilistic frameworkAn algorithm to solve optimal stopping problems for one-dimensional diffusionsOn the Poisson disorder problemOptimally stopping the sample mean of a Wiener process with an unknown driftContribution to the optimal stopping problemMonotone stopping rules forstochastic processes in a semimartingale representation with applicationsA leavable bounded-velocity stochastic control problem.An optimal stopping problem with linear rewardState estimation for partially observed Markov chainsEstimating a mean from delayed observationsOptimal stopping of oscillating Brownian motionExistence and explicit determination of optimal stopping timesA harmonic function technique for the optimal stopping of diffusionsOn the optimal stopping problem for one-dimensional diffusions.Examples of optimal stopping via measure transformation for processes with one-sided jumpsOn preserving the reservation wage property in a continuous job search modelA replacement model for an additive damage model with restorationExplicit solutions in one-sided optimal stopping problems for one-dimensional diffusionsSolving non–linear optimal stopping problems by the method of time–change




This page was built for publication: Optimal Stopping in a Markov Process