Threshold strategies in optimal stopping problem for one-dimensional diffusion processes

DOI10.1137/S0040585X97T987107zbMATH Open1333.60079OpenAlexW565459584MaRDI QIDQ5255339FDOQ5255339

Authors: 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

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zbMATH Keywords

diffusion processoptimal stoppingthreshold strategycontinuation set

Mathematics Subject Classification ID

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

Cites Work

• Stochastic differential equations. An introduction with applications.
• On the optimal stopping problem for one-dimensional diffusions.
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• Some optimal stopping problems with nontrivial boundaries for pricing exotic options
• On the optimal stopping of a one-dimensional diffusion
• On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
• The effect of depreciation allowances on the timing of investment and government tax revenue
• Reward functionals, salvage values, and optimal stopping
• A variational approach to optimal stopping problems for diffusion processes
• Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions
• Threshold stopping rules for diffusion processes and Stefan's problem

Cited In (9)

• Parameter dependent optimal thresholds, indifference levels and inverse optimal stopping problems
• On optimal threshold stopping times for Ito diffusions
• Optimal stopping and the sufficiency of randomized threshold strategies
• The absence of attrition in a war of attrition under complete information
• On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
• Optimality of threshold stopping times for diffusion processes
• The optimal stopping problem revisited
• On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models
• On the threshold strategies in optimal stopping problems for diffusion processes

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