Optimal Stopping of a Markov Process

DOI10.1137/1116076MaRDI QIDQ5180641zbMATH OpenOpenAlexFDO

Authors A. G. Fakeev

Publication date 1971

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1116076

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic potential theory (60J45)

Cited in

(18)

• Control and stopping of a diffusion process on an interval
• Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients
• The valuation of American call options on the minimum of two dividend-paying assets
• Risk sensitive optimal stopping
• Risk-sensitive optimal stopping with unbounded terminal cost function
• American perpetual options with random start
• Optimal stopping of one-dimensional diffusions with integral criteria
• Optimal stopping problems with restricted stopping times
• Properties of American option prices
• On the optimal stopping problem for one-dimensional diffusions.
• A new approach to the skorohod problem, and its applications
• A model for decision problems with continuous time parameter
• Discrete time approximations of continuous time finite horizon stopping problems
• The generalized perpetual American exchange-option problem
• Asymptotics of impulse control problem with multiplicative reward
• Stopping of functionals with discontinuity at the boundary of an open set
• Properties of game options
• On the pricing of American options

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