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Exact Optimal Stopping for Multidimensional Linear Switching Diffusions - MaRDI portal

Exact Optimal Stopping for Multidimensional Linear Switching Diffusions

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DOI10.1287/MOOR.2022.1312arXiv2107.14441OpenAlexW3190899515MaRDI QIDQ6121639

Philip A. Ernst, Hongwei Mei

Publication date: 27 February 2024

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.14441

zbMATH Keywords

optimal stopping free-boundary problem quickest detection switching diffusions

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30)

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