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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 79, 2007 - Issue 3-4: Special issue on optimal stopping with applications
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Original Articles

Principle of smooth fit and diffusions with angles

Goran Peskir School of Mathematics, The University of Manchester, Sackville Street, Manchester, M60 1QD, UKCorrespondence[email protected]
Pages 293-302 | Received 02 May 2006, Accepted 21 Nov 2006, Published online: 05 Nov 2008

Citations (17)

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Read on this site (2)

Fabián Crocce & Ernesto Mordecki. (2014) Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions. Stochastics 86:3, pages 491-509.
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Cloud Makasu. (2008) On a problem of optimal stopping in mathematical finance. Journal of Interdisciplinary Mathematics 11:4, pages 581-591.
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Articles from other publishers (15)

Jukka Lempa, Ernesto Mordecki & Paavo Salminen. (2024) Diffusion spiders: Green kernel, excessive functions and optimal stopping. Stochastic Processes and their Applications 167, pages 104229.
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Manuel Guerra, Cláudia Nunes & Carlos Oliveira. (2020) Optimal stopping of one-dimensional diffusions with integral criteria. Journal of Mathematical Analysis and Applications 481:2, pages 123473.
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Tiziano De Angelis, Giorgio Ferrari & John Moriarty. (2019) A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs. Mathematics of Operations Research 44:2, pages 512-531.
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Ernesto Mordecki & Paavo Salminen. (2019) Optimal stopping of Brownian motion with broken drift. High Frequency 2:2, pages 113-120.
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Yi-Shen Lin & Yi-Ching Yao. (2019) One-sided solutions for optimal stopping problems with logconcave reward functions. Advances in Applied Probability 51:01, pages 87-115.
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Mihail Zervos, Neofytos Rodosthenous, Pui Chan Lon & Thomas Bernhardt. (2019) Discretionary stopping of stochastic differential equations with generalised drift. Electronic Journal of Probability 24:none.
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Ernesto Mordecki & Paavo Salminen. (2019) Optimal stopping of oscillating Brownian motion. Electronic Communications in Probability 24:none.
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Saul D. Jacka & Dominykas Norgilas. (2019) On the Compensator in the Doob--Meyer Decomposition of the Snell Envelope. SIAM Journal on Control and Optimization 57:3, pages 1869-1889.
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Iker Perez & Huiling Le. (2015) Time-Randomized Stopping Problems for a Family of Utility Functions. SIAM Journal on Control and Optimization 53:3, pages 1328-1345.
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Damien Lamberton & Mohammed Mikou. (2016) The Smooth-Fit Property in an Exponential Lévy Model. Journal of Applied Probability 49:1, pages 137-149.
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Damien Lamberton & Mohammed Mikou. (2016) The Smooth-Fit Property in an Exponential Lévy Model. Journal of Applied Probability 49:01, pages 137-149.
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Farman Samee. (2010) On the Principle of Smooth Fit for Killed Diffusions. Electronic Communications in Probability 15:none.
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D. V. Belomestny, L. Rüschendorf & M. A. Urusov. (2010) Optimal Stopping of Integral Functionals and a “No-Loss” Free Boundary Formulation. Theory of Probability & Its Applications 54:1, pages 14-28.
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Денис Витальевич Беломестный, Denis Vital'evich Belomestny, Ludger Ruschendorf, Ludger Ruschendorf, Михаил Александрович Урусов & Mixail Alecsandrovich Urusov. (2009) Optimal stopping of integral functionals and a “no-loss” free boundary formulationOptimal Stopping of Integral Functionals and a “No-Loss” Free Boundary Formulation. Теория вероятностей и ее применения Teoriya Veroyatnostei i ee Primeneniya 54:1, pages 80-96.
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Tiziano De Angelis & Giorgio Ferrari. (2013) A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis. SSRN Electronic Journal.
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