Optimal stopping of oscillating Brownian motion

DOI10.1214/19-ECP250zbMath1422.60134arXiv1903.01457OpenAlexW2972606358MaRDI QIDQ2274112

Ernesto Mordecki, Paavo H. Salminen

Publication date: 19 September 2019

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.01457

zbMATH Keywords

excessive functionintegral representation of excessive functions

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Optimal stopping in statistics (62L15)

Related Items (7)

Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricing ⋮ First passage time density of an Ornstein–Uhlenbeck process with broken drift ⋮ An algorithm to solve optimal stopping problems for one-dimensional diffusions ⋮ Diffusion spiders: Green kernel, excessive functions and optimal stopping ⋮ Optimal stopping of oscillating Brownian motion ⋮ On occupation times of one-dimensional diffusions ⋮ A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty

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