On the structure of discounted optimal stopping problems for one-dimensional diffusions

DOI10.1080/17442508.2010.532874zbMath1250.60020OpenAlexW2067716360MaRDI QIDQ3108379

Pavel V. Gapeev, Hans Rudolf Lerche

Publication date: 3 January 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2010.532874

zbMATH Keywords

martingale approachfree-boundary problemoptimal stopping problem

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Free boundary problems for PDEs (35R35)

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• A Change-of-Variable Formula with Local Time on Surfaces
• Optimal Stopping Rules for Stochastic Processes with Continuous Parameter

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