A harmonic function technique for the optimal stopping of diffusions

DOI10.1080/17442508.2010.498915zbMath1241.60022MaRDI QIDQ3108367

Sören Christensen, Albrecht Irle

Publication date: 3 January 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2010.498915

zbMATH Keywords

optimal stopping; Martin boundary; diffusions; harmonic functions; exchange options

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

60J60: Diffusion processes

62L15: Optimal stopping in statistics

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Cites Work

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• The generalized perpetual American exchange-option problem
• Optimal Stopping in a Markov Process