Threshold Strategies in Optimal Stopping Problem for One-Dimensional Diffusion Processes

DOI10.1137/S0040585X97T987107zbMath1333.60079MaRDI QIDQ5255339

Vadim I. Arkin

Publication date: 15 June 2015

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t987107

zbMATH Keywords

optimal stopping; diffusion process; threshold strategy; continuation set

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

60J60: Diffusion processes

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