A note on optimal stopping of diffusions with a two-sided optimal rule

DOI10.1016/J.ORL.2009.10.002MaRDI QIDQ2270317zbMATH OpenOpenAlexFDO

Authors Jukka Lempa

Publication date 18 March 2010

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2009.10.002

zbMATH Keywords

diffusion processoptimal stoppingperpetual american straddle option

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Recommendations

• Construction of the value function and optimal rules in optimal stopping of one-dimensional diffusions
• Optimal stopping of strong Markov processes
• Optimal stopping for absolute maximum of homogeneous diffusion
• scientific article; zbMATH DE number 3878117
• Optimal stopping of the maximum process

Cites work

• A class of solvable stopping games
• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 1237702 (Why is no real title available?)
• scientific article; zbMATH DE number 1057570 (Why is no real title available?)
• scientific article; zbMATH DE number 3215021 (Why is no real title available?)
• On the Optimal Stochastic Impulse Control of Linear Diffusions
• On the optimal stopping problem for one-dimensional diffusions.
• Optimal Stopping of One-Dimensional Diffusions
• Reward functionals, salvage values, and optimal stopping

Cited in

(11)

• On solvability of a two-sided singular control problem
• Optimal stopping of one-dimensional diffusions with integral criteria
• Optimal stopping with information constraint
• A methodology to assess the economic impact of power storage technologies
• scientific article; zbMATH DE number 4121124 (Why is no real title available?)
• A Dynkin game with asymmetric information
• An algorithm to solve optimal stopping problems for one-dimensional diffusions
• A general approximation method for optimal stopping and random delay
• Two-sided Poisson control of linear diffusions
• Optimal stopping with variable attention
• Some results on optimal stopping under phase-type distributed implementation delay

This page was built for publication: A note on optimal stopping of diffusions with a two-sided optimal rule

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2270317)