Optimal stopping of linear diffusions with random discounting

DOI10.1287/MOOR.1070.0308MaRDI QIDQ3168986zbMATH OpenOpenAlexFDO

Authors Savas Dayanik

Publication date 27 April 2011

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/b2b7a147073eb67ba3a2e85135228ed0cc50c480

zbMATH Keywords

additive continuous functionalsconcavitydiffusionsexcessive functionsoptimal stoppingsmooth-fit principle

Mathematics Subject Classification ID

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

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• Solutions for Poissonian stopping problems of linear diffusions via extremal processes
• On the singular control of exchange rates
• On a class of optimal stopping problems for diffusions with discontinuous coefficients

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