Optimal double stopping time problem

DOI10.1016/J.CRMA.2009.11.020MaRDI QIDQ847103zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3740439 (Why is no real title available?)
• scientific article; zbMATH DE number 3538599 (Why is no real title available?)
• Applied stochastic control of jump diffusions
• Optimal multiple stopping time problem

Cited in

(9)

• A bilevel programming approach to double optimal stopping
• An optimal double stopping rule for a buying-selling problem
• Optimal multiple stopping time problem
• scientific article; zbMATH DE number 3865129 (Why is no real title available?)
• Optimal double stopping problems for maxima and minima of geometric Brownian motions
• Optimal double stopping of a Brownian bridge
• Double Optimal Stopping in the Fishing Problem
• Optimal stopping of a 2-vector risk process
• Optimal stopping time problem in a general framework

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