On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
From MaRDI portal
Publication:5568432
DOI10.1137/1111060zbMath0178.53303OpenAlexW1969427057MaRDI QIDQ5568432
Bronius Grigelionis, Albert N. Shiryaev
Publication date: 1966
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/1111060
Related Items (43)
An optimal stopping problem with finite horizon for sums of i.i.d. random variables ⋮ Risk vs. profit potential: ⋮ Bayesian Switching Multiple Disorder Problems ⋮ The Wiener disorder problem with finite horizon ⋮ Continuous parameter optimal stopping problems ⋮ Continuous parameter optimal stopping problems ⋮ A sequential estimation procedure for the parameter of an exponential distribution ⋮ Pricing permanent convertible bonds in EVG model ⋮ On nonlinear semigroups for Markov processes associated with optimal stopping ⋮ Theory of stochastic processes ⋮ Bayesian Sequential Testing Problem for a Brownian Bridge ⋮ PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION ⋮ Two-sided disorder problem for a Brownian motion in a Bayesian setting ⋮ Variational inequalities in Hilbert spaces with measures and optimal stopping problems ⋮ A method for efficient computation of optimal estimates in the extrapolation of solutions of nonlinear evolutionary differential equations in a Hilbert space. I ⋮ [https://portal.mardi4nfdi.de/wiki/Publication:4104688 Dualit� convexe, temps d'arr�t optimal et contr�le stochastique] ⋮ Temps d'arrêt optimal des processus non bornes ⋮ Problemes de temps d’arret optimal et inequations variationnelles paraboliques ⋮ Temps d'arrÊt optimal, théorie générale des processus et processus de Markov ⋮ Bayesian Quickest Detection Problems for Some Diffusion Processes ⋮ An optimal stopping problem with linear reward ⋮ An optimal stopping problem in a diffusion-type model with delay ⋮ The right time to sell a stock whose price is driven by Markovian noise ⋮ An analysis of transient Markov decision processes ⋮ On a non-linear semi-group attached to stochastic optimal control ⋮ Parada optima con horizonte aleatorio ⋮ Control of jump processes and applications ⋮ Optimal expulsion and optimal confinement of a Brownian particle with a switching cost ⋮ Existence and explicit determination of optimal stopping times ⋮ Perpetual American put options in a level-dependent volatility model ⋮ Singular stochastic control and optimal stopping ⋮ Unnamed Item ⋮ On the sequential testing problem for some diffusion processes ⋮ Optimal stopping of one-dimensional diffusions with integral criteria ⋮ Optimal stopping for response-guided dosing ⋮ Stochastic games and variational inequalities ⋮ On a simple optimal stopping problem ⋮ On the optimal stopping problem for one-dimensional diffusions. ⋮ Perpetual barrier options in jump-diffusion models ⋮ Principle of smooth fit and diffusions with angles ⋮ An approach for solving perpetual optimal stopping problems driven by Lévy processes ⋮ On the asymptotic free boundary for the American put option problem ⋮ Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions
This page was built for publication: On Stefan’s Problem and Optimal Stopping Rules for Markov Processes