Control and stopping of a diffusion process on an interval

DOI10.1214/AOAP/1029962601MaRDI QIDQ1296591zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

• scientific article; zbMATH DE number 3740439 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3607222 (Why is no real title available?)
• scientific article; zbMATH DE number 3325345 (Why is no real title available?)
• Continuous-Time Red and Black: How to Control a Diffusion to a Goal
• Optimal Stopping of a Markov Process
• The parabolic differential equations and the associated semigroups of transformation

Cited in

(19)

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• Controlling a stopped diffusion process to reach a goal
• The controller-and-stopper game for a linear diffusion.
• An explicit solution for an optimal stopping/optimal control problem which models an asset sale
• The solution to a second order linear ordinary differential equation with a non-homogeneous term that is a measure
• Martingale approach to stochastic differential games of control and stopping
• A continuity question of Dubins and Savage
• Second order reflected backward stochastic differential equations
• Finite-Fuel Singular Control With Discretionary Stopping
• 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
• Semimartingales on rays, Walsh diffusions, and related problems of control and stopping
• Optimal control of diffusion coefficients via decoupling fields

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