Detecting the Maximum of a Scalar Diffusion with Negative Drift

DOI10.1137/110838352zbMath1261.60077OpenAlexW2090277817MaRDI QIDQ4905918

Nizar Touzi, Gilles-Edouard Espinosa

Publication date: 21 February 2013

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://basepub.dauphine.fr/handle/123456789/5527

zbMATH Keywords

optimal stoppingordinary differential equationMarkov processfree-boundary problemsmooth fitmaximum processverification argument

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Free boundary problems for PDEs (35R35) Linear boundary value problems for ordinary differential equations (34B05)

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