On Characterizing Integral Stopping Time Functionals on Diffusions as Solutions to Boundary Value Problems
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Publication:4678754
DOI10.1081/SAP-200044480zbMath1070.60038WikidataQ126243313 ScholiaQ126243313MaRDI QIDQ4678754
Publication date: 23 May 2005
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G40: Stopping times; optimal stopping problems; gambling theory
Cites Work