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Drift Control with Discretionary Stopping for a Diffusion Process - MaRDI portal

Drift Control with Discretionary Stopping for a Diffusion Process

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Publication:6517964

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arXiv2401.10043MaRDI QIDQ6517964

Václav E. Beneš, Georgy Gaitsgori, Ioannis Karatzas

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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