Optimal Stopping of One-Dimensional Diffusions

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scientific article; zbMATH DE number 3878117
Construction of the value function and optimal rules in optimal stopping of one-dimensional diffusions
On the optimal stopping of a one-dimensional diffusion
A harmonic function technique for the optimal stopping of diffusions
On the optimal stopping problem for one-dimensional diffusions.

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Existence and explicit determination of optimal stopping times
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Cited in

(69)

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On optimal stopping of multidimensional diffusions
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Optimal decision under ambiguity for diffusion processes
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A note on the continuity of free-boundaries in finite-horizon optimal stopping problems for one-dimensional diffusions
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One-dimensional diffusions and their exit spaces.
scientific article; zbMATH DE number 3878117 (Why is no real title available?)
Optimal stopping of Hunt and Lévy processes
Principle of smooth fit and diffusions with angles
The solution to a second order linear ordinary differential equation with a non-homogeneous term that is a measure
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Optimal stopping and impulsive control of one-dimensional diffusion processes
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A Dynkin game with asymmetric information
A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING
On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
A note on a nonlinear functional equation and its application
Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function
On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
On the convergence from discrete to continuous time in an optimal stopping problem.
An algorithm to solve optimal stopping problems for one-dimensional diffusions
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