On the structure of discounted optimal stopping problems for one-dimensional diffusions

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

zbMATH Keywords

martingale approach; free-boundary problem; optimal stopping problem

Mathematics Subject Classification ID

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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