Optimal Stopping of Integral Functionals and a “No-Loss” Free Boundary Formulation
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Publication:3581314
DOI10.1137/S0040585X97983961zbMath1197.60043MaRDI QIDQ3581314
D. V. Belomestnyij, Ludger Rüschendorf, Mikhail A. Urusov
Publication date: 16 August 2010
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
free boundary problemoptimal stoppinglocal timesItô-Tanaka formulaone-dimensional diffusionoccupation times formulaEngelbert-Schmidt conditionsviscosity solution of a one-dimensional ODE of second order
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)
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