On optimal stopping of multidimensional diffusions
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Publication:2000159
DOI10.1016/j.spa.2018.07.014zbMath1488.60103arXiv1611.00959OpenAlexW2963468930MaRDI QIDQ2000159
Fabián Crocce, Ernesto Mordecki, Sören Christensen, Paavo H. Salminen
Publication date: 28 June 2019
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1611.00959
optimal stoppingMartin kernelGreen kernelmultidimensional diffusionsHelgason support theoremquadratic reward
Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
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On an irreversible investment problem with two-factor uncertainty ⋮ An algorithm to solve optimal stopping problems for one-dimensional diffusions ⋮ A change of variable formula with applications to multi-dimensional optimal stopping problems ⋮ A new integral equation for Brownian stopping problems with finite time horizon ⋮ On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions ⋮ Diffusion spiders: Green kernel, excessive functions and optimal stopping ⋮ Multidimensional investment problem ⋮ Optimal reduction of public debt under partial observation of the economic growth ⋮ The monotone case approach for the solution of certain multidimensional optimal stopping problems ⋮ Quasi-analytical solution of an investment problem with decreasing investment cost due to technological innovations ⋮ Optimal stopping of oscillating Brownian motion ⋮ A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty
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