On Stefan’s Problem and Optimal Stopping Rules for Markov Processes

DOI10.1137/1111060zbMath0178.53303OpenAlexW1969427057MaRDI QIDQ5568432

Bronius Grigelionis, Albert N. Shiryaev

Publication date: 1966

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

Full work available at URL: https://doi.org/10.1137/1111060

zbMATH Keywords

probability theory

Related Items

An optimal stopping problem with finite horizon for sums of i.i.d. random variables, Risk vs. profit potential:, Bayesian Switching Multiple Disorder Problems, The Wiener disorder problem with finite horizon, Continuous parameter optimal stopping problems, Continuous parameter optimal stopping problems, A sequential estimation procedure for the parameter of an exponential distribution, Pricing permanent convertible bonds in EVG model, On nonlinear semigroups for Markov processes associated with optimal stopping, Theory of stochastic processes, Bayesian Sequential Testing Problem for a Brownian Bridge, PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION, Two-sided disorder problem for a Brownian motion in a Bayesian setting, Variational inequalities in Hilbert spaces with measures and optimal stopping problems, A method for efficient computation of optimal estimates in the extrapolation of solutions of nonlinear evolutionary differential equations in a Hilbert space. I, [https://portal.mardi4nfdi.de/wiki/Publication:4104688 Dualit� convexe, temps d'arr�t optimal et contr�le stochastique], Temps d'arrêt optimal des processus non bornes, Problemes de temps d’arret optimal et inequations variationnelles paraboliques, Temps d'arrÊt optimal, théorie générale des processus et processus de Markov, Bayesian Quickest Detection Problems for Some Diffusion Processes, An optimal stopping problem with linear reward, An optimal stopping problem in a diffusion-type model with delay, The right time to sell a stock whose price is driven by Markovian noise, An analysis of transient Markov decision processes, On a non-linear semi-group attached to stochastic optimal control, Parada optima con horizonte aleatorio, Control of jump processes and applications, Optimal expulsion and optimal confinement of a Brownian particle with a switching cost, Existence and explicit determination of optimal stopping times, Perpetual American put options in a level-dependent volatility model, Singular stochastic control and optimal stopping, Unnamed Item, On the sequential testing problem for some diffusion processes, Optimal stopping of one-dimensional diffusions with integral criteria, Optimal stopping for response-guided dosing, Stochastic games and variational inequalities, On a simple optimal stopping problem, On the optimal stopping problem for one-dimensional diffusions., Perpetual barrier options in jump-diffusion models, Principle of smooth fit and diffusions with angles, An approach for solving perpetual optimal stopping problems driven by Lévy processes, On the asymptotic free boundary for the American put option problem, Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions