Existence and explicit determination of optimal stopping times

DOI10.1016/0304-4149(78)90066-2MaRDI QIDQ755258zbMATH OpenOpenAlexFDO

Authors Anthony G. Mucci

Publication date 1978

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL http://www.lib.ncsu.edu/resolver/1840.4/3355

zbMATH Keywords

Brownian motionfirst hitting timeoptimal stopping problemstopping timeweak convergence

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Stopping times; optimal stopping problems; gambling theory (60G40) Brownian motion (60J65)

Cites work

• Existence and explicit determination of optimal stopping times
• Explicit Solutions to Some Problems of Optimal Stopping
• scientific article; zbMATH DE number 3215021 (Why is no real title available?)
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• On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
• Optimal stopping and free boundary problems
• Optimal Stopping in a Markov Process
• Optimal stopping variables for Brownian motion
• Optimal stopping variables for stochastic processes with independent increments
• The First Passage Problem for a Continuous Markov Process
• Weak convergence of probability measures and random functions in the function space D[0,∞)
• Weak Convergence of Probability Measures on the Function Space C\lbrack 0, \infty)

Cited in

(6)

• A harmonic function technique for the optimal stopping of diffusions
• On the structure of discounted optimal stopping problems for one-dimensional diffusions
• The Stochastic Sequential Assignment Problem With Random Deadlines
• Optimal Stopping of One-Dimensional Diffusions
• A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING
• Existence and explicit determination of optimal stopping times

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