On the monotonicity of the stopping boundary for time-inhomogeneous optimal stopping problems

DOI10.1007/s10957-024-02514-2MaRDI QIDQ6636789

Alessandro Milazzo

Publication date: 12 November 2024

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationoptimal stoppingpartial informationtime-inhomogeneous diffusionsmonotone stopping boundary

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Free boundary problems for PDEs (35R35)

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