Optimal stopping and a martingale approach to the penalty method
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Publication:1838224
DOI10.2748/tmj/1178229202zbMath0509.60042OpenAlexW2010518756MaRDI QIDQ1838224
Publication date: 1982
Published in: Tôhoku Mathematical Journal. Second Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2748/tmj/1178229202
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Cites Work
- Optimal stopping of continuous time stochastic processes and stochastic differential representations for the value functions
- Strong envelopes of stochastic processes and a penalty method†
- Continuous parameter optimal stopping problems
- Optimal Stopping Rules for Stochastic Processes with Continuous Parameter
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