An optimal stopping problem with linear reward

DOI10.1007/BF02392110MaRDI QIDQ1214213zbMATH OpenOpenAlexFDO

Authors Pierre van Moerbeke

Publication date 1974

Published in Acta Mathematica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02392110

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites work

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Cited in

(14)

• Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
• Corrected random walk approximations to free boundary problems in optimal stopping
• On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
• The Two-Sided Stefan Problem with a Spatially Dependent Latent Heat
• On the continuity of the time derivative of the solution to the parabolic obstacle problem with variable coefficients
• Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems
• The obstacle problem for parabolic non-divergence form operators of Hörmander type
• Functional a posteriori error estimates for the parabolic obstacle problem
• An explicit series approximation to the optimal exercise boundary of American put options
• Classical solvability of multidimensional two-phase Stefan problem for degenerate parabolic equations and Schauder's estimates for a degenerate parabolic problem with dynamic boundary conditions
• Evaluation of American strangles
• scientific article; zbMATH DE number 3495238 (Why is no real title available?)
• On the asymptotic free boundary for the American put option problem
• On a certain estimate of the free boundary in the Stefan problem

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