Control and stopping of a diffusion process on an interval

DOI10.1214/AOAP/1029962601zbMATH Open0938.93067OpenAlexW1987538014MaRDI QIDQ1296591FDOQ1296591

Ioannis Karatzas, William D. Sudderth

Publication date: 27 June 2000

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1029962601

zbMATH Keywords

stopping timeoptimal stopping

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Optimal stochastic control (93E20)

Cites Work

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Cited In (18)

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• Optimal investment with stopping in finite horizon
• The stochastic maximization problem for linear functionals with a charge for the use of solutions
• Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function
• A continuity question of Dubins and Savage
• Captive diffusions and their applications to order-preserving dynamics
• On the optimal stopping problem for one-dimensional diffusions.
• Investment Timing with Incomplete Information and Multiple Means of Learning
• Discretionary stopping of stochastic differential equations with generalised drift
• Martingale approach to stochastic differential games of control and stopping
• Optimal Control of Diffusion Coefficients via Decoupling Fields
• Second order reflected backward stochastic differential equations
• A sequential estimation problem with control and discretionary stopping
• The controller-and-stopper game for a linear diffusion.

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