The Wiener disorder problem with finite horizon

DOI10.1016/j.spa.2006.04.005zbMath1105.60027OpenAlexW2108525677MaRDI QIDQ860699

Goran Peskir, Pavel V. Gapeev

Publication date: 9 January 2007

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

Full work available at URL: https://doi.org/10.1016/j.spa.2006.04.005

zbMATH Keywords

Wiener processoptimal stoppingcurved boundarychange-of-variable formula with local time on curvesnonlinear Volterra integral equation of the second kindparabolic free-boundary problem

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian problems; characterization of Bayes procedures (62C10) Other nonlinear integral equations (45G10) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35) Optimal stopping in statistics (62L15)

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