Optimal double stopping time problem

DOI10.1016/J.CRMA.2009.11.020zbMATH Open1189.60086OpenAlexW4299306696MaRDI QIDQ847103FDOQ847103

Authors: Magdalena Kobylanski, Marie-Claire Quenez, Elisabeth Rouy-Mironescu 

Publication date: 12 February 2010

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2009.11.020

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zbMATH Keywords

random fieldoptimal stoppingvalue functionMarkov timeMarkov processes with continuous parameter

Mathematics Subject Classification ID

Brownian motion (60J65) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Cites Work

• Title not available (Why is that?)
• Applied stochastic control of jump diffusions
• Optimal multiple stopping time problem
• Title not available (Why is that?)

Cited In (9)

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• A bilevel programming approach to double optimal stopping
• Double Optimal Stopping in the Fishing Problem
• Optimal stopping time problem in a general framework
• Optimal double stopping problems for maxima and minima of geometric Brownian motions
• Optimal stopping of a 2-vector risk process
• An optimal double stopping rule for a buying-selling problem
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• Optimal double stopping of a Brownian bridge

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