Name
Abstract | ||
|---|---|---|
We study a problem when the optimal stopping for a one-dimensional diffusion process is generated by a threshold strategy. Namely, we give necessary and sufficient conditions (on the diffusion process and the payoff function) under which a stopping set has a threshold structure. |
Year | DOI | Venue |
|---|---|---|
2017 | 10.1017/jpr.2017.44 | JOURNAL OF APPLIED PROBABILITY |
Keywords | Field | DocType |
Diffusion process, optimal stopping, stopping set, threshold structure | Applied mathematics,Combinatorics,Optimal stopping,Mathematics | Journal |
Volume | Issue | ISSN |
54 | 3 | 0021-9002 |
Citations | PageRank | References |
0 | 0.34 | 0 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Vadim Arkin | 1 | 0 | 0.34 |
| Alexander Slastnikov | 2 | 0 | 0.34 |