On the optimal stopping of a one-dimensional diffusion
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Publication:388889
DOI10.1214/EJP.v18-2182zbMath1296.60101arXiv1207.5491MaRDI QIDQ388889
Damien Lamberton, Mihail Zervos
Publication date: 17 January 2014
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1207.5491
49L20: Dynamic programming in optimal control and differential games
60G40: Stopping times; optimal stopping problems; gambling theory
60J60: Diffusion processes
60J55: Local time and additive functionals
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