Optimal Stopping of Linear Diffusions with Random Discounting

DOI10.1287/moor.1070.0308zbMath1213.60080OpenAlexW2137390163MaRDI QIDQ3168986

Savas Dayanik

Publication date: 27 April 2011

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/b2b7a147073eb67ba3a2e85135228ed0cc50c480

zbMATH Keywords

concavityoptimal stoppingdiffusionsexcessive functionssmooth-fit principleadditive continuous functionals

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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