Construction of the value function and optimal rules in optimal stopping of one-dimensional diffusions

DOI10.1239/AAP/1269611148zbMATH Open1195.60063OpenAlexW2070465319MaRDI QIDQ3566397FDOQ3566397

Authors: Richard H. Stockbridge, K. 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

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zbMATH Keywords

linear programmingnonlinear optimizationdualityoptimal stoppingvalue functionone-dimensional diffusion

Mathematics Subject Classification ID

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

Cites Work

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Cited In (38)

• Optimal decision under ambiguity for diffusion processes
• Optimal stopping of one-dimensional diffusions with integral criteria
• A note on optimal stopping of diffusions with a two-sided optimal rule
• Solving optimal stopping problems of linear diffusions by applying convolution approximations
• Optimal stopping of linear diffusions with random discounting
• An algorithm to solve optimal stopping problems for one-dimensional diffusions
• A measure approach for continuous inventory models: discounted cost criterion
• Optimal stopping with irregular reward functions
• Linear Programming Formulation for Optimal Stopping Problems
• Optimal stopping of the maximum process
• Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function
• Diffusion spiders: Green kernel, excessive functions and optimal stopping
• A multidimensional optimal stopping-time problem, with time-average criterion
• Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes
• A variational approach to optimal stopping problems for diffusion processes
• On the optimal stopping problem for one-dimensional diffusions.
• Thinning and harvesting in stochastic forest models
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• Adiabatic limit in the Ginzburg-Landau and Seiberg-Witten equations
• Reward functionals, salvage values, and optimal stopping
• A Direct Approach to the Solution of Optimal Multiple-Stopping Problems
• Recombining tree approximations for optimal stopping for diffusions
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• Parameter-dependent optimal stopping problems for one-dimensional diffusions
• On the structure of discounted optimal stopping problems for one-dimensional diffusions
• Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model
• Analysis of production decisions under budget limitations
• A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING
• A harmonic function technique for the optimal stopping of diffusions
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• Discussion of dynamic programming and linear programming approaches to stochastic control and optimal stopping in continuous time
• On the forward algorithm for stopping problems on continuous-time Markov chains
• Examples of optimal stopping via measure transformation for processes with one-sided jumps
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• On the optimal stopping of a one-dimensional diffusion
• Optimal Stopping of One-Dimensional Diffusions
• Global \(C^1\) regularity of the value function in optimal stopping problems

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