Local times, optimal stopping and semimartingales
DOI10.1214/AOP/1176989407zbMATH Open0773.60031OpenAlexW2055077061MaRDI QIDQ2365749FDOQ2365749
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
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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)
Cited In (15)
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- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Linear programming fictitious play algorithm for mean field games with optimal stopping and absorption
- On a discretization procedure for the stopping time problem
- 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
- Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions
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