On the structure of discounted optimal stopping problems for one-dimensional diffusions

DOI10.1080/17442508.2010.532874MaRDI QIDQ3108379zbMATH OpenOpenAlexFDO

Authors Pavel Gapeev, Hans Rudolf Lerche

Publication date 3 January 2012

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2010.532874

zbMATH Keywords

free-boundary problemmartingale approachoptimal stopping problem

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Continuous-time Markov processes on general state spaces (60J25) Financial applications of other theories (91G80)

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Cited in

(18)

• Diffusion transformations, Black-Scholes equation and optimal stopping
• Study of undiscounted non-linear optimal multiple stopping problems on unbounded intervals
• Perpetual American double lookback options on drawdowns and drawups with floating strikes
• A note on the continuity of free-boundaries in finite-horizon optimal stopping problems for one-dimensional diffusions
• Solution of the Optimal Stopping Problem for One-Dimensional Diffusion Based on a Modification of the Payoff Function
• Examples of optimal stopping via measure transformation for processes with one-sided jumps
• A Construction Scheme of the Minimal Dominating Supermartingale arising in the Discrete Parameter Optimal Stopping Problems
• On the pricing of perpetual American compound options
• Mathematical properties of American chooser options
• A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty
• American strangle options
• Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
• Discounted optimal stopping problems in first-passage time models with random thresholds
• On the impact of the penalty on the cancellable American options
• Perpetual American compound fixed-strike lookback options on maxima drawdowns
• Discounted optimal stopping zero-sum games in diffusion type models with maxima and minima
• Discounted nonzero-sum optimal stopping games under Poisson random intervention times
• Perpetual American compound lookback and integral options with floating strikes

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