Threshold stopping rules for diffusion processes and Stefan's problem

DOI10.1134/S106456241204031XMaRDI QIDQ1930852zbMATH OpenFDO

Authors Vadim I. Arkin, Alexander D. Slastnikov

Publication date 14 January 2013

Published in Doklady Mathematics (Search for Journal in Brave)

Mathematics Subject Classification ID

Diffusion processes (60J60) Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• A variational approach to optimal stopping problems for diffusion processes
• On the optimal stopping problem for one-dimensional diffusions.
• Optimal time to invest when the price processes are geometric Brownian motions
• Reward functionals, salvage values, and optimal stopping

Cited in

(1)

• Threshold strategies in optimal stopping problem for one-dimensional diffusion processes

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