A harmonic function technique for the optimal stopping of diffusions
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Cites work
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- Optimal time to invest when the price processes are geometric Brownian motions
- The generalized perpetual American exchange-option problem
Cited in
(28)- Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes
- Timing in the presence of directional predictability: optimal stopping of skew Brownian motion
- Multidimensional investment problem
- An optimal stopping problem for jump diffusion logistic population model
- Optimal stopping with random exercise lag
- Multisource Bayesian sequential binary hypothesis testing problem
- The monotone case approach for the solution of certain multidimensional optimal stopping problems
- On optimal stopping of multidimensional diffusions
- On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay
- Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricing
- Optimal stopping of one-dimensional diffusions with integral criteria
- Resolvent-techniques for multiple exercise problems
- Optimal decision under ambiguity for diffusion processes
- On the solution of general impulse control problems using superharmonic functions
- Optimal Stopping of One-Dimensional Diffusions
- On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems
- A methodology to assess the economic impact of power storage technologies
- Anscombe's model for sequential clinical trials revisited
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- Optimal time to exchange two baskets
- A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING
- On the continuous and smooth fit principle for optimal stopping problems in spectrally negative Lévy models
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