Local times, optimal stopping and semimartingales

DOI10.1214/AOP/1176989407MaRDI QIDQ2365749zbMATH OpenOpenAlexFDO

Authors S. D. Jacka

Publication date 29 June 1993

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176989407

zbMATH Keywords

semimartingalelocal timeoptimal stopping problemSnell envelope

Mathematics Subject Classification ID

Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integral equations (60H20) General theory of stochastic processes (60G07)

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Cited in

(15)

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• A Bayesian-martingale approach to the general disorder problem
• On the compensator in the Doob-Meyer decomposition of the Snell envelope
• On certain distributions associated with the range of martingales
• The American put option in a one-dimensional diffusion model with level-dependent volatility
• Strategic investment with positive externalities
• Principle of smooth fit and diffusions with angles
• Semimartingale properties of the lower Snell envelope in optimal stopping under model uncertainty
• THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS
• An integral equation for American put options on assets with general dividend processes

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