A new approach to the skorohod problem, and its applications

DOI10.1080/17442509108833675zbMath0735.60046OpenAlexW2091303169MaRDI QIDQ3971876

Nicole El Karoui, Ioannis Karatzas

Publication date: 25 June 1992

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509108833675

zbMATH Keywords

optimal stoppingbalayageSkorokhod problemmoving boundary

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites Work

• On optimal stopping and free boundary problems
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Probabilistic aspects of finite-fuel stochastic control
• Optimal Stopping and the American Put
• Optimal Stopping of a Markov Process
• Optimal stopping problems for Brownian motion
• Optimal Stopping Rules for Stochastic Processes with Continuous Parameter
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