Optimal Stopping of a Markov Process

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Previous article Next article Optimal Stopping of a Markov ProcessA. G. FakeevA. G. Fakeevhttps://doi.org/10.1137/1116076PDFBibTexSections ToolsAdd to favoritesExport CitationTrack CitationsEmail SectionsAbout[1] A. G. Fakeev, On optimal stopping of random processes with continuous time, Theory Prob. Applications, 15 (1970), 324–331 10.1137/1115039 0227.60030 LinkGoogle Scholar[2] A. N. Shiryaev, Statistical Sequential Analysis, Izd-vo “Nauka”, Moscow, 1969, (In Russian.) Google Scholar[3] E. B. Dynkin, Markov processes. Vols. I, II, Translated with the authorization and assistance of the author by J. Fabius, V. Greenberg, A. Maitra, G. Majone. Die Grundlehren der Mathematischen Wi ssenschaften, Bände 121, Vol. 122, Academic Press Inc., Publishers, New York, 1965Vol. I: xii+365 pp.; Vol. II: viii+274 MR0193671 0132.37901 CrossrefGoogle Scholar Previous article Next article FiguresRelatedReferencesCited ByDetails Risk-sensitive optimal stopping with unbounded terminal cost functionElectronic Journal of Probability, Vol. 27, No. none | 1 Jan 2022 Cross Ref Risk sensitive optimal stoppingStochastic Processes and their Applications, Vol. 136 | 1 Jun 2021 Cross Ref Optimal stopping of one-dimensional diffusions with integral criteriaJournal of Mathematical Analysis and Applications, Vol. 481, No. 2 | 1 Jan 2020 Cross Ref American perpetual options with random startResults in Applied Mathematics, Vol. 3 | 1 Oct 2019 Cross Ref Optimal stopping problems with restricted stopping timesJournal of Industrial & Management Optimization, Vol. 13, No. 1 | 1 Jan 2017 Cross Ref Optimal Exercise for Derivative SecuritiesAnnual Review of Financial Economics, Vol. 6, No. 1 | 1 Dec 2014 Cross Ref On the One-Dimensional Optimal Switching ProblemMathematics of Operations Research, Vol. 35, No. 1 | 1 Feb 2010 Cross Ref Parameter-Dependent Optimal Stopping Problems for One-Dimensional DiffusionsElectronic Journal of Probability, Vol. 15, No. none | 1 Jan 2010 Cross Ref Optimal Stopping Problem for Stochastic Differential Equations with Random CoefficientsMou-Hsiung Chang, Tao Pang, and Jiongmin YongSIAM Journal on Control and Optimization, Vol. 48, No. 2 | 25 February 2009AbstractPDF (311 KB)Optimal Multiple Stopping of Linear DiffusionsMathematics of Operations Research, Vol. 33, No. 2 | 1 May 2008 Cross Ref The generalized perpetual American exchange-option problemAdvances in Applied Probability, Vol. 40, No. 01 | 1 July 2016 Cross Ref The generalized perpetual American exchange-option problemAdvances in Applied Probability, Vol. 40, No. 1 | 1 July 2016 Cross Ref Optimum Integration Time for UWB Transmitted Reference and Energy Detector ReceiversMILCOM 2006 | 1 Oct 2006 Cross Ref Optimal Stopping Time and Pricing of Exotic Options2007 Chinese Control Conference | 1 Jul 2006 Cross Ref Properties of game optionsMathematical Methods of Operations Research, Vol. 63, No. 2 | 10 November 2005 Cross Ref Properties of American option pricesStochastic Processes and their Applications, Vol. 114, No. 2 | 1 Dec 2004 Cross Ref ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and ApplicationsManagement Science, Vol. 50, No. 9 | 1 Sep 2004 Cross Ref On the optimal stopping problem for one-dimensional diffusionsStochastic Processes and their Applications, Vol. 107, No. 2 | 1 Oct 2003 Cross Ref The valuation of American call options on the minimum of two dividend-paying assetsThe Annals of Applied Probability, Vol. 13, No. 3 | 1 Aug 2003 Cross Ref The Valuation of American Options for a Class of Diffusion ProcessesManagement Science, Vol. 48, No. 7 | 1 Jul 2002 Cross Ref Control and stopping of a diffusion process on an intervalThe Annals of Applied Probability, Vol. 9, No. 1 | 1 Feb 1999 Cross Ref Consumption-Investment Problem with Subsistence Consumption, Bankruptcy, and Random Market CoefficientsJournal of Optimization Theory and Applications, Vol. 93, No. 2 | 1 May 1997 Cross Ref Consumption-Investment Problem with Subsistence Consumption, Bankruptcy, and Random Market CoefficientsOptimal Consumption and Investment with Bankruptcy | 1 Jan 1997 Cross Ref Optimal Consumption and Investment with BankruptcySSRN Electronic Journal | 1 Jan 1997 Cross Ref A new approach to the skorohod problem, and its applicationsStochastics and Stochastic Reports, Vol. 34, No. 1-2 | 2 May 2007 Cross Ref Applications of Stochastic Calculus in Financial EconomicsRecent Advances in Stochastic Calculus | 1 Jan 1990 Cross Ref Optimization Problems in the Theory of Continuous TradingIoannis KaratzasSIAM Journal on Control and Optimization, Vol. 27, No. 6 | 14 July 2006AbstractPDF (3855 KB)On the pricing of American optionsApplied Mathematics & Optimization, Vol. 17, No. 1 | 1 Jan 1988 Cross Ref CONTROLLED MARKOV JUMP PROCESSES ASSOCIATED WITH A CHOICE OF STOPPING RULESMemoirs of the Faculty of Science, Kyushu University. 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