Optimal stopping with random intervention times

DOI10.1239/aap/1019160954zbMath1009.60032OpenAlexW2152092364MaRDI QIDQ4547102

Hui Wang, Paul Dupuis

Publication date: 28 April 2003

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1019160954

zbMATH Keywords

variational inequalityoptimal stoppingstochastic controlAmerican option

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

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