Solving non–linear optimal stopping problems by the method of time–change
DOI10.1080/07362990008809698zbMATH Open0968.60039OpenAlexW2052811652MaRDI QIDQ4518329FDOQ4518329
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
Recommendations
Ornstein-Uhlenbeck processBrownian motiondiffusionfree-boundary problemBessel processtime changesmooth fit principlenonlinear stopping problem
Inequalities; stochastic orderings (60E15) Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
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- On the \(L^p\) norms of stochastic integrals and other martingales
- A First Passage Problem for the Wiener Process
- Optimal stopping and free boundary problems
- Explicit Solutions to Some Problems of Optimal Stopping
- Optimal stopping variables for Brownian motion
- Optimal Stopping in a Markov Process
- On Stopping Times for a Wiener Process
Cited In (8)
- Title not available (Why is that?)
- 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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