Parameter Dependent Optimal Thresholds, Indifference Levels and Inverse Optimal Stopping Problems

DOI10.1239/jap/1402578639zbMath1327.60099arXiv1302.2769OpenAlexW2060582374MaRDI QIDQ5169740

Martin Klimmek

Publication date: 11 July 2014

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.2769

zbMATH Keywords

Gittins indexparameter dependencethreshold strategygeneralized diffusioninverse optimal stopping problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimal stopping in statistics (62L15)

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