Time-randomized stopping problems for a family of utility functions

DOI10.1137/130946800MaRDI QIDQ2810982zbMATH OpenOpenAlexFDO

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/

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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Cites work

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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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