A Free Boundary Problem Connected with the Optimal Stopping Problem for Diffusion Processes
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Publication:4765495
DOI10.2307/1996423zbMATH Open0279.35049OpenAlexW4244226421MaRDI QIDQ4765495FDOQ4765495
Authors: Daniel B. Kotlow 
Publication date: 1974
Full work available at URL: https://doi.org/10.2307/1996423
Statistical decision theory (62C99) Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60)
Cites Work
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- On some problems with unknown boundaries for the heat conduction equation
- Free boundary problem for the heat equation with applications to problems of change of phase. I. General method of solution
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- Lectures on stochastic processes. Notes by K. Muralidhara Rao. Reissued ed
- Numerical Solution of a Parabolic Free Boundary Problem Arising in Statistical Decision Theory
- An Implicit Free Boundary Problem for the Heat Equation
Cited In (10)
- Properties of American volatility options in the mean-reverting 3/2 volatility model
- Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
- Parabolic variational inequalities in one space dimension and smoothness of the free boundary
- An optimal stopping problem with linear reward
- On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
- On the pricing formula for the perpetual American volatility option under the mean-reverting processes
- Problemes de temps d’arret optimal et inequations variationnelles paraboliques
- General free-boundary problems for the heat equation. I
- Mean-field games of finite-fuel capacity expansion with singular controls
- A preference free partial differential equation for the term structure of interest rates
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