Reward functionals, salvage values, and optimal stopping

DOI10.1007/S001860100161zbMATH Open1018.60045OpenAlexW2050333050MaRDI QIDQ1397015FDOQ1397015

Authors: Luis H. R. Alvarez 

Publication date: 16 July 2003

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860100161

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zbMATH Keywords

optimal stoppinglinear diffusionsalvage valueminimal \(r\)-excessive mappings

Mathematics Subject Classification ID

Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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• PREVENTION OF CATASTROPHIC FAILURES WITH WEAK FOREWARNING SIGNALS
• Threshold stopping rules for diffusion processes and Stefan's problem
• On the structure of discounted optimal stopping problems for one-dimensional diffusions
• Optimality of threshold stopping times for diffusion processes
• Some results on optimal stopping under phase-type distributed implementation delay
• On an irreversible investment problem with two-factor uncertainty
• Construction of the value function and optimal rules in optimal stopping of one-dimensional diffusions
• A zero-sum Poisson stopping game with asymmetric signal rates
• Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time
• Principle of smooth fit and diffusions with angles
• Optimal stopping with information constraint
• Optimal payout policy in presence of downside risk
• Optimal stopping with random exercise lag

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