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)

Full work available at URL https://doi.org/10.1007/BF00534881

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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