On optimal threshold stopping times for Ito diffusions

DOI10.1080/17442508.2020.1783263zbMath1496.60034OpenAlexW3038169181MaRDI QIDQ5086698

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

optimal stoppingexcessive functionthreshold stopping timeItô diffusion processes

Mathematics Subject Classification ID

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

Related Items

Optimal stopping time on semi-Markov processes with finite horizon

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