Explicit Solutions to Some Problems of Optimal Stopping

Cited in

(32)

Duration problem on trajectories
An optimal stopping problem with finite horizon for sums of i.i.d. random variables
Corrected random walk approximations to free boundary problems in optimal stopping
Optimal stopping for the exponential of a Brownian bridge
Optimal stopping of a Brownian bridge with an unknown pinning point
Optimally stopping the sample mean of a Wiener process with an unknown drift
AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation
Solving non–linear optimal stopping problems by the method of time–change
Herbert Robbins and sequential analysis
On-line VWAP Trading Strategies
An optimal stopping problem with linear reward
With or without replacement? Sampling uncertainty in Shepp’s urn scheme
Harmonic numbers in gambler's ruin problem
On the \(\frac{S_n}{n}\) problem
Asymptotic inference for stochastic processes
Optimally stopping a Brownian bridge with an unknown pinning time: a Bayesian approach
Optimal expulsion and optimal confinement of a Brownian particle with a switching cost
Optimal stopping for Shepp's urn with risk aversion
Existence and explicit determination of optimal stopping times
A note on randomized Shepp's urn scheme
On the monotonicity of the stopping boundary for time-inhomogeneous optimal stopping problems
On a simple optimal stopping problem
Optimal stopping with a capacity constraint: generalizing Shepp's urn scheme
Optimal Stopping of a Brownian Bridge
Uniform integrability of continuous exponential martingales
Easily determining which urns are 'favorable'
Examples of optimal stopping via measure transformation for processes with one-sided jumps
Stochastic differential equations for compounded risk reserves
The right time to sell a stock whose price is driven by Markovian noise
Note on the (non-)smoothness of discrete time value functions in optimal stopping
Optimal double stopping of a Brownian bridge
Regarding stopping rules for Brownian motion and random walks

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