Principle of smooth fit and diffusions with angles

DOI10.1080/17442500601040461MaRDI QIDQ3429346zbMATH OpenOpenAlexFDO

Authors Goran Peskir

Publication date 30 March 2007

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500601040461

Mathematics Subject Classification ID

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

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Cites work

• BOUNDARY THEORY OF MARKOV PROCESSES (THE DISCRETE CASE)
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 3607222 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• Local times, optimal stopping and semimartingales
• On optimal stopping and free boundary problems
• On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
• On the optimal stopping problem for one-dimensional diffusions.
• Optimal Stopping of One-Dimensional Diffusions
• Optimal stopping problems for Brownian motion
• Reward functionals, salvage values, and optimal stopping
• Some remarks on first passage of Lévy processes, the American put and pasting principles

Cited in

(13)

• Note on the (non-)smoothness of discrete time value functions in optimal stopping
• Optimal stopping of oscillating Brownian motion
• Discretionary stopping of stochastic differential equations with generalised drift
• Optimal stopping of one-dimensional diffusions with integral criteria
• Time-randomized stopping problems for a family of utility functions
• One-sided solutions for optimal stopping problems with logconcave reward functions
• A solvable two-dimensional degenerate singular stochastic control problem with nonconvex costs
• On the compensator in the Doob-Meyer decomposition of the Snell envelope
• On the smooth-fit principle in $ \mathbb R^n$
• Diffusion spiders: Green kernel, excessive functions and optimal stopping
• On singular control of reflected diffusions
• Nonzero-sum games of optimal stopping for Markov processes
• On the principle of smooth fit for killed diffusions

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