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

DOI10.1080/07362990008809698zbMath0968.60039OpenAlexW2052811652MaRDI QIDQ4518329

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

diffusionBessel processBrownian motionOrnstein-Uhlenbeck processtime changefree-boundary problemsmooth fit principlenonlinear stopping problem

Mathematics Subject Classification ID

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

Related Items (6)

Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes ⋮ Time-consistent stopping under decreasing impatience ⋮ Optimal stopping for the exponential of a Brownian bridge ⋮ A weak-type inequality for the martingale square function ⋮ Optimal liquidation of a call spread ⋮ Optimal Stopping of a Brownian Bridge

Cites Work

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• Optimal stopping and free boundary problems
• On the \(L^p\) norms of stochastic integrals and other martingales
• Optimal stopping variables for Brownian motion
• A First Passage Problem for the Wiener Process
• Explicit Solutions to Some Problems of Optimal Stopping
• Optimal Stopping in a Markov Process
• On Stopping Times for a Wiener Process

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