Solving optimal stopping problems of linear diffusions by applying convolution approximations

DOI10.1007/S001860000098MaRDI QIDQ1396959zbMATH OpenOpenAlexFDO

Authors Luis H. R. Alvarez

Publication date 15 July 2003

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s001860000098

zbMATH Keywords

exponential distributionoptimal stoppinglinear diffusionsconvolution approximation

Mathematics Subject Classification ID

Variational inequalities (49J40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stopping times; optimal stopping problems; gambling theory (60G40)

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(3)

• On the perpetual American put options for level dependent volatility models with jumps
• Optimal stopping problem associated with jump-diffusion processes
• A Dynkin game with asymmetric information

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