Solving non–linear optimal stopping problems by the method of time–change

DOI10.1080/07362990008809698MaRDI QIDQ4518329zbMATH OpenOpenAlexFDO

Authors Goran Peskir, Jesper Lund Pedersen

Publication date 6 February 2001

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990008809698

zbMATH Keywords

Ornstein-Uhlenbeck processBrownian motiondiffusionfree-boundary problemBessel processtime changesmooth fit principlenonlinear stopping problem

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 4020069 (Why is no real title available?)
• scientific article; zbMATH DE number 3607222 (Why is no real title available?)
• A First Passage Problem for the Wiener Process
• Explicit Solutions to Some Problems of Optimal Stopping
• On Stopping Times for a Wiener Process
• On the \(L^p\) norms of stochastic integrals and other martingales
• Optimal Stopping in a Markov Process
• Optimal stopping and free boundary problems
• Optimal stopping variables for Brownian motion

Cited in

(8)

• scientific article; zbMATH DE number 1983453 (Why is no real title available?)
• Optimal stopping for the exponential of a Brownian bridge
• Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes
• A weak-type inequality for the martingale square function
• Optimal liquidation of a call spread
• Optimal Stopping of a Brownian Bridge
• Time-consistent stopping under decreasing impatience
• Nonlinear PDE approach to time-inconsistent optimal stopping

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