On Characterizing Integral Stopping Time Functionals on Diffusions as Solutions to Boundary Value Problems

DOI10.1081/SAP-200044480MaRDI QIDQ4678754zbMATH OpenWikidataFDO

Authors David F. Miller

Publication date 23 May 2005

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

Full work available at URL https://doi.org/10.1081/SAP-200044480

zbMATH Keywords

exit timesFourier transformsintegral functionals

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• Diffusions and Elliptic Operators
• Exit time moments, boundary value problems, and the geometry of domains in Euclidean space
• scientific article; zbMATH DE number 4022294 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 1022658 (Why is no real title available?)

Cited in

(1)

• Smoothness of stopping times of diffusion processes

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