A harmonic function technique for the optimal stopping of diffusions

DOI10.1080/17442508.2010.498915MaRDI QIDQ3108367zbMATHOpenAlexFDO

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

zbMATH Keywords

harmonic functionsoptimal stoppingMartin boundarydiffusionsexchange options

Mathematics Subject Classification ID

Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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Cites work

• Construction of the value function and optimal rules in optimal stopping of one-dimensional diffusions
• Existence and explicit determination of optimal stopping times
• On optimal timing of investment when cost components are additive and follow geometric diffusions
• On the optimal stopping problem for one-dimensional diffusions.
• Optimal Stopping in a Markov Process
• Optimal Stopping of One-Dimensional Diffusions
• Optimal time to invest when the price processes are geometric Brownian motions
• The generalized perpetual American exchange-option problem

Cited in

(27)

• Anscombe's model for sequential clinical trials revisited
• A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty
• On optimal stopping of multidimensional diffusions
• An optimal stopping problem for jump diffusion logistic population model
• Diffusion spiders: Green kernel, excessive functions and optimal stopping
• Multidimensional investment problem
• Optimal stopping of one-dimensional diffusions with integral criteria
• Solutions for Poissonian stopping problems of linear diffusions via extremal processes
• Optimal time to exchange two baskets
• On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay
• Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes
• The monotone case approach for the solution of certain multidimensional optimal stopping problems
• A methodology to assess the economic impact of power storage technologies
• Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricing
• Multisource Bayesian sequential binary hypothesis testing problem
• Optimal decision under ambiguity for diffusion processes
• Timing in the presence of directional predictability: optimal stopping of skew Brownian motion
• Resolvent-techniques for multiple exercise problems
• On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems
• On the solution of general impulse control problems using superharmonic functions
• On an irreversible investment problem with two-factor uncertainty
• Optimal Stopping of One-Dimensional Diffusions
• Optimal stopping and impulse control in the presence of an anticipated regime switch
• A measure approach for continuous inventory models: discounted cost criterion
• A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING
• Optimal stopping with random exercise lag
• On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models

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