A change of variable formula with applications to multi-dimensional optimal stopping problems

DOI10.1016/j.spa.2023.07.005zbMath1525.60066arXiv2104.05835MaRDI QIDQ6048969

Tiziano De Angelis, Cheng Cai

Publication date: 15 September 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.05835

zbMATH Keywords

Itô's formulachange of variable formulamultidimensional optimal stopping

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Stochastic integrals (60H05) Free boundary problems for PDEs (35R35)

Related Items (1)

Two-Sided Singular Control of an Inventory with Unknown Demand Trend

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