On optimal threshold stopping times for Ito diffusions

DOI10.1080/17442508.2020.1783263MaRDI QIDQ5086698zbMATH OpenOpenAlexFDO

Authors Vadim I. Arkin, Alexander D. Slastnikov

Publication date 7 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2020.1783263

zbMATH Keywords

excessive functionItô diffusion processesoptimal stoppingthreshold stopping time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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Cited in

(8)

• Optimal stopping time on semi-Markov processes with finite horizon
• Iterative construction of the optimal Bermudan stopping time
• Extremal behaviour of optimal sale moments for an asset whose price satisfies Ito's diffusion equation
• On the threshold strategies in optimal stopping problems for diffusion processes
• Optimality of threshold stopping times for diffusion processes
• Parameter dependent optimal thresholds, indifference levels and inverse optimal stopping problems
• Threshold strategies in optimal stopping problem for one-dimensional diffusion processes
• On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems

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