Advanced search
Publication Cover
Stochastics
An International Journal of Probability and Stochastic Processes
Volume 79, 2007 - Issue 3-4: Special issue on optimal stopping with applications
Submit an article Journal homepage
147
Views
17
CrossRef citations to date
0
Altmetric
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)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

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.
Read now
Cloud Makasu. (2008) On a problem of optimal stopping in mathematical finance. Journal of Interdisciplinary Mathematics 11:4, pages 581-591.
Read now

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.
Crossref
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.
Crossref
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.
Crossref
Ernesto Mordecki & Paavo Salminen. (2019) Optimal stopping of Brownian motion with broken drift. High Frequency 2:2, pages 113-120.
Crossref
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.
Crossref
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.
Crossref
Ernesto Mordecki & Paavo Salminen. (2019) Optimal stopping of oscillating Brownian motion. Electronic Communications in Probability 24:none.
Crossref
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.
Crossref
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.
Crossref
Damien Lamberton & Mohammed Mikou. (2016) The Smooth-Fit Property in an Exponential Lévy Model. Journal of Applied Probability 49:1, pages 137-149.
Crossref
Damien Lamberton & Mohammed Mikou. (2016) The Smooth-Fit Property in an Exponential Lévy Model. Journal of Applied Probability 49:01, pages 137-149.
Crossref
Farman Samee. (2010) On the Principle of Smooth Fit for Killed Diffusions. Electronic Communications in Probability 15:none.
Crossref
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.
Crossref
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.
Crossref
Tiziano De Angelis & Giorgio Ferrari. (2013) A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.