An inverse optimal stopping problem for diffusion processes

DOI10.1287/MOOR.2018.0930MaRDI QIDQ6827246zbMATH OpenFDO

Authors Thomas Kruse, Philipp Strack

Publication date 12 March 2020

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/MOOR.2018.0930

zbMATH Keywords

dynamic implementabilitydynamic mechanism designoptimal stoppingreflected stochastic processes

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Mechanism design theory (91B03) Principal-agent models (91B43)

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