The solution of some discretionary stopping problems:

DOI10.1093/IMAMCI/DNV060MaRDI QIDQ4966973zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Timothy C. Johnson

Publication date 2 July 2019

Published in IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1093/imamci/dnv060

zbMATH Keywords

dynamic programmingfinanceoptimal stoppingstochastic control

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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Cited in

(9)

• A martingale method for the solution of optimal stopping games
• Discretionary stopping of stochastic differential equations with generalised drift
• Solutions for Poissonian stopping problems of linear diffusions via extremal processes
• Utility Maximization with Discretionary Stopping
• A new weak solution to an optimal stopping problem
• The optimal stopping problem revisited
• A methodology to assess the economic impact of power storage technologies
• Discussion on ``An effective method for the explicit solution of sequential problems on the real line by Sören Christensen
• Discontinuous solutions of deterministic optimal stopping time problems

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