scientific article; zbMATH DE number 2163521

MaRDI QIDQ4672386zbMATH OpenFDO

Authors Jesper Lund Pedersen

Publication date 29 April 2005

zbMATH Keywords

diffusion free boundary problemmaximum processoptimal stoppingprinciple of smooth fit

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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Cited in

(14)

• Optimal stopping and maximal inequalities for linear diffusions
• Optimal variance stopping with linear diffusions
• On optimal stopping of multidimensional diffusions
• Optimal stopping for absolute maximum of homogeneous diffusion
• On the solution of the optimal prediction problem for the maximum of a time-homogeneous diffusion
• A harmonic function technique for the optimal stopping of diffusions
• Constructing time-homogeneous generalized diffusions consistent with optimal stopping values
• On an Optimal Stopping Problem of Time Inhomogeneous Diffusion Processes
• A multidimensional optimal stopping-time problem, with time-average criterion
• Optimal Stopping of Regular Diffusions under Random Discounting
• Refined Solutions of Time Inhomogeneous Optimal Stopping Games via Dirichlet Form
• scientific article; zbMATH DE number 5593404 (Why is no real title available?)
• scientific article; zbMATH DE number 5030138 (Why is no real title available?)
• On the monotonicity of the stopping boundary for time-inhomogeneous optimal stopping problems

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