Der diskontierte Einarmige Bandit.
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Deux remarques sur la séparabilité optionnelle
Claude Dellacherie (1977)
Séminaire de probabilités de Strasbourg
Die Stoppverteilungen eines Markoff-Prozesses mit lokalendlichem Potential.
Hermann Rost (1970)
Manuscripta mathematica
Differentiability of excessive functions of one-dimensional diffusions and the principle of smooth fit
Paavo Salminen, Bao Quoc Ta (2015)
Banach Center Publications
The principle of smooth fit is probably the most used tool to find solutions to optimal stopping problems of one-dimensional diffusions. It is important, e.g., in financial mathematical applications to understand in which kind of models and problems smooth fit can fail. In this paper we connect-in case of one-dimensional diffusions-the validity of smooth fit and the differentiability of excessive functions. The basic tool to derive the results is the representation theory of excessive functions;...
Discontinuous solutions of deterministic optimal stopping time problems
G. Barles, B. Perthame (1987)
ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique
Discounted optimal stopping for maxima in diffusion models with finite horizon.
Gapeev, Pavel V. (2006)
Electronic Journal of Probability [electronic only]
Domination by Borel stopping times and some separation properties
Ashok Maitra, Victor Pestien, S. Ramakrishnan (1990)
Fundamenta Mathematicae
Durées de séjour et temps d'entrée associés à un processus de Markov homogène
Philippe Oger (1973)
RAIRO - Operations Research - Recherche Opérationnelle
Currently displaying 1 – 8 of 8
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