Stochastic optimal stopping problems in the theory of controlled random processes

DOI10.1007/S10958-025-07610-WMaRDI QIDQ6975141zbMATH OpenFDO

Authors Albert N. Shiryaev

Publication date 5 June 2025

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10958-025-07610-W

zbMATH Keywords

conditionally uniform distributiondecision-makingdiffusion processDirichlet-Stefan problemfractional Brownian motioninfinitesimal operatorKummer's hypergeometric functionoptimal stoppingrisk functionVolterra equationwhite noiseWiener process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimal stopping in statistics (62L15)

Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 6303356 (Why is no real title available?)
• scientific article; zbMATH DE number 7719460 (Why is no real title available?)
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