On the threshold strategies in optimal stopping problems for diffusion processes

DOI10.1017/JPR.2017.44MaRDI QIDQ4684901zbMATH OpenOpenAlexFDO

Authors Vadim I. Arkin, Alexander D. Slastnikov

Publication date 26 September 2018

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/jpr.2017.44

zbMATH Keywords

diffusion processoptimal stoppingstopping setthreshold structure

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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Cites work

• Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions
• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• On the optimal stopping of a one-dimensional diffusion
• On the optimal stopping problem for one-dimensional diffusions.
• On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
• Threshold strategies in optimal stopping problem for one-dimensional diffusion processes

Cited in

(10)

• Optimal stopping and the sufficiency of randomized threshold strategies
• On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models
• Optimal decision under ambiguity for diffusion processes
• Limit theorems for suprema, threshold-stopped random variables and last exits of i.i.d. random variables with costs and discounting, with applications to optimal stopping
• On optimal threshold stopping times for Ito diffusions
• Optimality of threshold stopping times for diffusion processes
• Parameter dependent optimal thresholds, indifference levels and inverse optimal stopping problems
• Threshold strategies in optimal stopping problem for one-dimensional diffusion processes
• On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
• A general approximation method for optimal stopping and random delay

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