On an Optimal Stopping Problem of Time Inhomogeneous Diffusion Processes

DOI10.1137/040609549MaRDI QIDQ3427782zbMATH OpenOpenAlexFDO

Authors Yoichi Oshima

Publication date 27 March 2007

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/d10c66bc6488974f1306b023e71b672ecd8ae860

zbMATH Keywords

Dirichlet formsoptimal stoppingquasi variational inequalitytime inhomogeneous diffusion processes

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Brownian motion (60J65) Optimal stopping in statistics (62L15)

Recommendations

• Refined Solutions of Time Inhomogeneous Optimal Stopping Games via Dirichlet Form
• On a class of optimal stopping problems for diffusions with discontinuous coefficients
• On the optimal stopping problem for one-dimensional diffusions.
• scientific article; zbMATH DE number 794333
• scientific article; zbMATH DE number 2163521

Cited in

(12)

• On the properties of \(r\)-excessive mappings for a class of diffusions
• Constructing time-homogeneous generalized diffusions consistent with optimal stopping values
• Optimal Stopping Problem for Stochastic Differential Equations with Random Coefficients
• Continuity Properties of Optimal Multiple Stopping Value
• L p Inequalities for Stopping Times of Diffusions
• On Characterizing Integral Stopping Time Functionals on Diffusions as Solutions to Boundary Value Problems
• Refined Solutions of Time Inhomogeneous Optimal Stopping Games via Dirichlet Form
• scientific article; zbMATH DE number 5593404 (Why is no real title available?)
• scientific article; zbMATH DE number 5030138 (Why is no real title available?)
• Reflected BSDEs and the obstacle problem for semilinear PDEs in divergence form
• On the monotonicity of the stopping boundary for time-inhomogeneous optimal stopping problems
• Optimal stopping of Gauss-Markov bridges

This page was built for publication: On an Optimal Stopping Problem of Time Inhomogeneous Diffusion Processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3427782)