Solving Problems of Optimal Stopping with Linear Costs of Observations

DOI10.1081/SQA-200027048MaRDI QIDQ3155692zbMATH OpenFDO

Authors Albrecht Irle, V. Paulsen

Publication date 18 January 2005

Published in Sequential Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Diffusion processes (60J60) Bayesian problems; characterization of Bayes procedures (62C10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Optimal stochastic control (93E20)

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Cites work

• Bayes Solutions of Sequential Decision Problems
• Locally most powerful sequential tests for stochastic processes
• OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
• On the optimal stopping problem for one-dimensional diffusions.
• Optimal Stopping of Regular Diffusions under Random Discounting

Cited in

(7)

• An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems
• An asymptotic expansion for the optimal stopping boundary in problems with nonlinear costs of observation
• Optimal stopping problems for some Markov processes
• Competition versus cooperation: a class of solvable mean field impulse control problems
• General optimal stopping with linear cost
• On optimal stopping with nonlinear costs of observation
• scientific article; zbMATH DE number 4121142 (Why is no real title available?)

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