Optimal stopping problems for Brownian motion

DOI10.2307/1426320MaRDI QIDQ5613603zbMATH OpenOpenAlexFDO

Authors John Bather

Publication date 1970

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

Full work available at URL https://doi.org/10.2307/1426320

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Brownian motion (60J65)

Cited in

(10)

• An optimal stopping problem with finite horizon for sums of i.i.d. random variables
• An optimal stopping problem with linear reward
• Plastic-elastic torsion, optimal stopping and free boundaries
• On a decomposition result in a Dynkin stopping game
• Stopping times in economic development planning: some modelling issues
• Principle of smooth fit and diffusions with angles
• A new approach to the skorohod problem, and its applications
• Singular stochastic control and optimal stopping
• Optimal buying at the global minimum in a regime switching model
• On some generalized American style derivatives

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