Construction of the Value Function and Optimal Rules in Optimal Stopping of One-Dimensional Diffusions

DOI10.1239/aap/1269611148zbMath1195.60063OpenAlexW2070465319MaRDI QIDQ3566397

Richard H. Stockbridge, Kurt Helmes

Publication date: 7 June 2010

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1269611148

zbMATH Keywords

linear programmingoptimal stoppingnonlinear optimizationdualityvalue functionone-dimensional diffusion

Mathematics Subject Classification ID

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

Related Items (13)

Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes ⋮ Optimal decision under ambiguity for diffusion processes ⋮ A Direct Approach to the Solution of Optimal Multiple-Stopping Problems ⋮ Thinning and harvesting in stochastic forest models ⋮ Diffusion spiders: Green kernel, excessive functions and optimal stopping ⋮ Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model ⋮ Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time ⋮ Adiabatic limit in the Ginzburg-Landau and Seiberg-Witten equations ⋮ A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING ⋮ A harmonic function technique for the optimal stopping of diffusions ⋮ Analysis of production decisions under budget limitations ⋮ A Measure Approach for Continuous Inventory Models: Discounted Cost Criterion ⋮ On the forward algorithm for stopping problems on continuous-time Markov chains

Cites Work

• Thinning and harvesting in stochastic forest models
• Reward functionals, salvage values, and optimal stopping
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• On the optimal stopping problem for one-dimensional diffusions.
• Linear programming approach to the optimal stopping of singular stochastic processes
• Optimal Stopping of One-Dimensional Diffusions
• Stochastic differential equations. An introduction with applications.
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