Continuous parameter optimal stopping problems

DOI10.1007/BF00535835zbMath0215.25704MaRDI QIDQ5618136

Mary E. Thompson

Publication date: 1971

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Right processes (60J40)

Related Items (5)

Optimal stopping of continuous time stochastic processes and stochastic differential representations for the value functions ⋮ A continuous-time sequential testing problem ⋮ Unnamed Item ⋮ Optimal stopping and a martingale approach to the penalty method ⋮ On the optimal stopping problem for one-dimensional diffusions.

Cites Work

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• Additive Functionals and Excessive Functions
• On optimal stopping rules
• On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
• Some Problems in the Theory of Optimal Stopping Rules
• On the Expected Value of a Stopped Stochastic Sequence
• On branching Markov processes
• Applications of Martingale System Theorems

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