Solving Problems of Optimal Stopping with Linear Costs of Observations

DOI10.1081/SQA-200027048zbMATH Open1146.60307MaRDI QIDQ3155692FDOQ3155692

Authors: Albrecht Irle, V. Paulsen 

Publication date: 18 January 2005

Published in: Sequential Analysis (Search for Journal in Brave)

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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)

Cites Work

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

Cited In (7)

• 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
• Title not available (Why is that?)
• On optimal stopping with nonlinear costs of observation
• General optimal stopping with linear cost
• An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems

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