On the smooth-fit principle in \mathbb R^n

DOI10.1070/RM2007V062N04ABEH004434MaRDI QIDQ5387161zbMATH OpenOpenAlexFDO

Authors A. F. Aliev

Publication date 7 May 2008

Published in Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1070/rm2007v062n04abeh004434

zbMATH Keywords

diffusion processoptimal stoppingsmooth-pasting principle

Mathematics Subject Classification ID

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

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• Two-sided disorder problem for a Brownian motion in a Bayesian setting
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