On the structure of discounted optimal stopping problems for one-dimensional diffusions
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Publication:3108379
DOI10.1080/17442508.2010.532874zbMath1250.60020MaRDI QIDQ3108379
Pavel V. Gapeev, Hans Rudolf Lerche
Publication date: 3 January 2012
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2010.532874
60J25: Continuous-time Markov processes on general state spaces
60G40: Stopping times; optimal stopping problems; gambling theory
60G44: Martingales with continuous parameter
91G80: Financial applications of other theories
35R35: Free boundary problems for PDEs
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