A harmonic function technique for the optimal stopping of diffusions
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Publication:3108367
DOI10.1080/17442508.2010.498915zbMATH Open1241.60022OpenAlexW1998976715MaRDI QIDQ3108367FDOQ3108367
Authors: 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
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Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
Cites Work
- On the optimal stopping problem for one-dimensional diffusions.
- Optimal Stopping of One-Dimensional Diffusions
- Optimal time to invest when the price processes are geometric Brownian motions
- Construction of the value function and optimal rules in optimal stopping of one-dimensional diffusions
- Optimal Stopping in a Markov Process
- Existence and explicit determination of optimal stopping times
- On optimal timing of investment when cost components are additive and follow geometric diffusions
- The generalized perpetual American exchange-option problem
Cited In (27)
- The monotone case approach for the solution of certain multidimensional optimal stopping problems
- On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
- Optimal decision under ambiguity for diffusion processes
- Optimal stopping of one-dimensional diffusions with integral criteria
- Multidimensional investment problem
- Resolvent-techniques for multiple exercise problems
- A measure approach for continuous inventory models: discounted cost criterion
- Diffusion spiders: Green kernel, excessive functions and optimal stopping
- Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes
- Anscombe's model for sequential clinical trials revisited
- Optimal time to exchange two baskets
- Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricing
- On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems
- Optimal stopping and impulse control in the presence of an anticipated regime switch
- Timing in the presence of directional predictability: optimal stopping of skew Brownian motion
- Multisource Bayesian sequential binary hypothesis testing problem
- Solutions for Poissonian stopping problems of linear diffusions via extremal processes
- On an irreversible investment problem with two-factor uncertainty
- A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING
- An optimal stopping problem for jump diffusion logistic population model
- A methodology to assess the economic impact of power storage technologies
- A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty
- On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay
- On the solution of general impulse control problems using superharmonic functions
- On optimal stopping of multidimensional diffusions
- Optimal Stopping of One-Dimensional Diffusions
- Optimal stopping with random exercise lag
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