Monotone stopping problems and continuous time processes

DOI10.1007/BF00534881MaRDI QIDQ3049600zbMATH OpenFDO

Authors 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

• scientific article; zbMATH DE number 3683507 (Why is no real title available?)
• scientific article; zbMATH DE number 3205002 (Why is no real title available?)
• scientific article; zbMATH DE number 3223983 (Why is no real title available?)
• Continuous parameter optimal stopping problems
• Extremal Processes
• On Extreme Order Statistics
• Th�orie des processus stochastiques g�n�raux applications aux surmartingales

Cited in

(9)

• Discussion on ``An effective method for the explicit solution of sequential problems on the real line by Sören Christensen
• 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
• 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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