Two-sided Poisson control of linear diffusions

DOI10.1080/17442508.2023.2256923MaRDI QIDQ6647791zbMATH OpenFDO

Authors Harto Saarinen

Publication date 3 December 2024

Published in Stochastics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/17442508.2023.2256923

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Diffusion processes (60J60)

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Cites work

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• scientific article; zbMATH DE number 1795850 (Why is no real title available?)
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• The shape of the value function under Poisson optimal stopping

Cited in

(1)

• A sequential stopping problem with costly reversibility

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