An exactly solvable multiple stochastic optimal stopping problem

DOI10.1186/S13662-018-1626-7zbMATH Open1446.93078OpenAlexW2805347509MaRDI QIDQ1712232FDOQ1712232

Authors: Hidekazu Yoshioka 

Publication date: 21 January 2019

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-018-1626-7

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zbMATH Keywords

geometric Brownian motionvariational inequalitydynamic programming principlemultiple optimal stopping

Mathematics Subject Classification ID

Ecology (92D40) Optimal stochastic control (93E20)

Cites Work

• Stochastic differential equations. An introduction with applications.
• Optimal multiple stopping of linear diffusions
• Optimal Stopping and the American Put
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• An optimal investment, consumption, leisure, and voluntary retirement problem with Cobb-Douglas utility: dynamic programming approaches
• An optimal investment, consumption-leisure and voluntary retirement choice problem with subsistence consumption constraints
• Optimal timing problems in environmental economics.
• Stochastic inequalities and applications to dynamics analysis of a novel SIVS epidemic model with jumps
• Application of inequalities technique to dynamics analysis of a stochastic eco-epidemiology model
• Viscosity solutions of optimal stopping problems
• Optimal harvesting control and dynamics of two-species stochastic model with delays
• Valuation of stock loans with jump risk
• Optimal multiple stopping models of reload options and shout options
• Pricing Parisian down-and-in options

Cited In (3)

• A Direct Approach to the Solution of Optimal Multiple-Stopping Problems
• Title not available (Why is that?)
• An optimal stopping problem in the stochastic Gilpin-Ayala population model

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