A harmonic function technique for the optimal stopping of diffusions
From MaRDI portal
Publication:3108367
DOI10.1080/17442508.2010.498915zbMath1241.60022OpenAlexW1998976715MaRDI QIDQ3108367
Albrecht Irle, Sören Christensen
Publication date: 3 January 2012
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2010.498915
Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimal stopping in statistics (62L15)
Related Items (25)
Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricing ⋮ On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems ⋮ Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes ⋮ Optimal decision under ambiguity for diffusion processes ⋮ A methodology to assess the economic impact of power storage technologies ⋮ On an irreversible investment problem with two-factor uncertainty ⋮ Timing in the presence of directional predictability: optimal stopping of skew Brownian motion ⋮ Optimal stopping with random exercise lag ⋮ Optimal stopping and impulse control in the presence of an anticipated regime switch ⋮ Diffusion spiders: Green kernel, excessive functions and optimal stopping ⋮ Multisource Bayesian sequential binary hypothesis testing problem ⋮ Multidimensional investment problem ⋮ On the solution of general impulse control problems using superharmonic functions ⋮ Optimal Time to Exchange Two Baskets ⋮ Anscombe’s model for sequential clinical trials revisited ⋮ The monotone case approach for the solution of certain multidimensional optimal stopping problems ⋮ A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING ⋮ On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models ⋮ On optimal stopping of multidimensional diffusions ⋮ An optimal stopping problem for jump diffusion logistic population model ⋮ On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay ⋮ Optimal stopping of one-dimensional diffusions with integral criteria ⋮ A Measure Approach for Continuous Inventory Models: Discounted Cost Criterion ⋮ Resolvent-techniques for multiple exercise problems ⋮ A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty
Cites Work
- Existence and explicit determination of optimal stopping times
- On optimal timing of investment when cost components are additive and follow geometric diffusions
- Optimal time to invest when the price processes are geometric Brownian motions
- On the optimal stopping problem for one-dimensional diffusions.
- Construction of the Value Function and Optimal Rules in Optimal Stopping of One-Dimensional Diffusions
- Optimal Stopping of One-Dimensional Diffusions
- The generalized perpetual American exchange-option problem
- Optimal Stopping in a Markov Process
This page was built for publication: A harmonic function technique for the optimal stopping of diffusions
