Existence and explicit determination of optimal stopping times

DOI10.1016/0304-4149(78)90066-2zbMath0417.60052OpenAlexW2087328635MaRDI QIDQ755258

Anthony G. Mucci

Publication date: 1978

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

Full work available at URL: http://www.lib.ncsu.edu/resolver/1840.4/3355

zbMATH Keywords

weak convergenceBrownian motionstopping timeoptimal stopping problemfirst hitting time

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Convergence of probability measures (60B10)

Related Items (6)

Optimal Stopping of One-Dimensional Diffusions ⋮ A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING ⋮ Existence and explicit determination of optimal stopping times ⋮ A harmonic function technique for the optimal stopping of diffusions ⋮ On the structure of discounted optimal stopping problems for one-dimensional diffusions ⋮ The Stochastic Sequential Assignment Problem With Random Deadlines

Cites Work

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• Weak Convergence of Probability Measures on the Function Space $C\lbrack 0, \infty)$
• Weak convergence of probability measures and random functions in the function space D[0,∞)
• The First Passage Problem for a Continuous Markov Process

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