Continuous parameter optimal stopping problems

DOI10.1007/BF00535835zbMath0208.43901MaRDI QIDQ5610792

Mary E. Thompson

Publication date: 1971

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Right processes (60J40)

Related Items (5)

Optimal stopping problems with restricted stopping times ⋮ Risk management for crude oil futures: an optimal stopping-timing approach ⋮ The stochastic balance equation for the American option value function and its gradient ⋮ Monotone stopping problems and continuous time processes ⋮ Optimal stopping of one-dimensional diffusions with integral criteria

Cites Work

• Processus de Markov: la frontière de Martin
• Additive Functionals and Excessive Functions
• On optimal stopping rules
• On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
• Some Problems in the Theory of Optimal Stopping Rules
• On the Expected Value of a Stopped Stochastic Sequence
• Applications of Martingale System Theorems
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