Optimal double stopping time problem

DOI10.1016/j.crma.2009.11.020zbMath1189.60086OpenAlexW4299306696MaRDI QIDQ847103

Elisabeth Rouy-Mironescu, Magdalena Kobylanski, Marie-Claire Quenez

Publication date: 12 February 2010

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2009.11.020

zbMATH Keywords

optimal stoppingrandom fieldvalue functionMarkov timeMarkov processes with continuous parameter

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Related Items (1)

Optimal multiple stopping time problem

Cites Work

• Optimal multiple stopping time problem
• Applied stochastic control of jump diffusions
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