Construction of the value function and optimal rules in optimal stopping of one-dimensional diffusions
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Cited in
(42)- Solving optimal stopping problems of linear diffusions by applying convolution approximations
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- Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes
- Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model
- The shape of the value function under Poisson optimal stopping
- A note on optimal stopping of diffusions with a two-sided optimal rule
- Optimal stopping of one-dimensional diffusions with integral criteria
- Optimal decision under ambiguity for diffusion processes
- Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time
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- Global C^1 regularity of the value function in optimal stopping problems
- Optimal stopping of the maximum process
- A harmonic function technique for the optimal stopping of diffusions
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- Analysis of production decisions under budget limitations
- Optimal stopping of linear diffusions with random discounting
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- Examples of optimal stopping via measure transformation for processes with one-sided jumps
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- Linear Programming Formulation for Optimal Stopping Problems
- Recombining tree approximations for optimal stopping for diffusions
- A Direct Approach to the Solution of Optimal Multiple-Stopping Problems
- On the forward algorithm for stopping problems on continuous-time Markov chains
- A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING
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