Time-randomized stopping problems for a family of utility functions

DOI10.1137/130946800zbMATH Open1339.60044OpenAlexW382456358MaRDI QIDQ2810982FDOQ2810982

Authors: Iker Perez, Huiling Le 

Publication date: 7 June 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: http://eprints.nottingham.ac.uk/32709/

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zbMATH Keywords

randomizationPoisson processboundary value problemgeometric Brownian motionoptimal stoppingutility functionsnumerical approximations

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Brownian motion (60J65) Linear boundary value problems for ordinary differential equations (34B05) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Financial applications of other theories (91G80)

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Cited In (2)

• Optimal stopping in predictable setting
• EXISTENCE CONDITIONS OF THE OPTIMAL STOPPING TIME : THE CASES OF GEOMETRIC BROWNIAN MOTION AND ARITHMETIC BROWNIAN MOTION

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