Linear programming approach to the optimal stopping of singular stochastic processes
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Publication:3429348
DOI10.1080/17442500600976814zbMath1110.60038OpenAlexW1993558670MaRDI QIDQ3429348
Richard H. Stockbridge, Kurt Helmes
Publication date: 30 March 2007
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500600976814
Linear programming (90C05) Stopping times; optimal stopping problems; gambling theory (60G40) Local time and additive functionals (60J55)
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