On optimal stopping of multidimensional diffusions-Reference-Cited by-同舟云学术

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On optimal stopping of multidimensional diffusions

Published:2019-07 Issue:7 Volume:129 Page:2561-2581
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Christensen Sören,Crocce Fabián,Mordecki Ernesto,Salminen Paavo

Funder

Magnus Ehrnrooth Foundation, Finland

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference37 articles.

1. Mathematical Functions, 9th Printing;Abramowitz,1970

2. Support theorems for unbounded convex sets;Banh;Complex Variables Theory Appl.,2004

3. Probabilistic Techniques in Analysis;Bass,1994

4. Markov Processes and Potential Theory;Blumenthal,1968

5. Handbook of Brownian Motion - Facts and Formulae;Borodin,2015

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1. Diffusion spiders: Green kernel, excessive functions and optimal stopping;Stochastic Processes and their Applications;2024-01

2. A change of variable formula with applications to multi-dimensional optimal stopping problems;Stochastic Processes and their Applications;2023-10

3. Exact Optimal Stopping for Multidimensional Linear Switching Diffusions;Mathematics of Operations Research;2023-08

4. A new integral equation for Brownian stopping problems with finite time horizon;Stochastic Processes and their Applications;2023-08

5. On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions;SIAM Journal on Control and Optimization;2023-06-15

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