Control and stopping of a diffusion process on an interval

DOI10.1214/AOAP/1029962601zbMath0938.93067OpenAlexW1987538014MaRDI QIDQ1296591

Ioannis Karatzas, William D. Sudderth

Publication date: 27 June 2000

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1029962601

zbMATH Keywords

optimal stoppingstopping time

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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Cites Work

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• The parabolic differential equations and the associated semigroups of transformation
• Continuous-Time Red and Black: How to Control a Diffusion to a Goal
• Optimal Stopping of a Markov Process

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