Monotone stopping problems and continuous time processes

DOI10.1007/BF00534881zbMATH Open0414.60051MaRDI QIDQ3049600FDOQ3049600

Albrecht Irle

Publication date: 1979

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

zbMATH Keywords

stopping timeoptimal stoppingstochastic processsupermartingale

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• On Extreme Order Statistics
• Th�orie des processus stochastiques g�n�raux applications aux surmartingales
• Title not available (Why is that?)
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• Extremal Processes
• Title not available (Why is that?)
• Continuous parameter optimal stopping problems

Cited In (9)

• The monotone case approach for the solution of certain multidimensional optimal stopping problems
• Generalized parking problems for levy processes
• Optimal stopping for extremal processes
• An effective method for the explicit solution of sequential problems on the real line
• A general method for finding the optimal threshold in discrete time
• Discussion on “An effective method for the explicit solution of sequential problems on the real line” by Sören Christensen
• The monotone condition for optimal multiple stopping problems
• A Construction Scheme of the Minimal Dominating Supermartingale arising in the Discrete Parameter Optimal Stopping Problems
• Monotone stopping rules forstochastic processes in a semimartingale representation with applications

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