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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 83, 2011 - Issue 4-6: Optimal stopping with Applications
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Original Articles

A harmonic function technique for the optimal stopping of diffusions

Sören Christensen Christian-Albrechts-Universität Kiel, Mathematisches Seminar, Ludewig-Meyn-Str. 4, 24098, Kiel, GermanyCorrespondence[email protected]
&
Albrecht Irle Christian-Albrechts-Universität Kiel, Mathematisches Seminar, Ludewig-Meyn-Str. 4, 24098, Kiel, Germany
Pages 347-363 | Received 29 Oct 2009, Accepted 02 Jun 2010, Published online: 09 Jun 2011

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F. Dammann & G. Ferrari. (2022) On an irreversible investment problem with two-factor uncertainty. Quantitative Finance 22:5, pages 907-921.
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Sebastian Jobjörnsson & Sören Christensen. (2018) Anscombe’s model for sequential clinical trials revisited. Sequential Analysis 37:1, pages 115-144.
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B. Buonaguidi & P. Muliere. (2014) On the martingale and free-boundary approaches in sequential detection problems with exponential penalty for delay. Stochastics 86:6, pages 865-869.
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Pavel V. Gapeev & Hans Rudolf Lerche. (2011) On the structure of discounted optimal stopping problems for one-dimensional diffusions. Stochastics 83:4-6, pages 537-554.
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Articles from other publishers (30)

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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Luis H. R. Alvarez E. & Wiljami Sillanpää. (2023) Optimal stopping and impulse control in the presence of an anticipated regime switch. Mathematical Methods of Operations Research 98:2, pages 205-230.
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Haoyan Zhang & Yingxu Tian. (2022) Hitting Time Problems of Sticky Brownian Motion and Their Applications in Optimal Stopping and Bond Pricing. Methodology and Computing in Applied Probability 24:2, pages 1237-1251.
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Luis H. R. Alvarez E. & Sören Christensen. (2021) A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty. Advances in Applied Probability 53:2, pages 400-424.
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Haoyan Zhang & Yingxu Tian. (2020) Pricing perpetual American swaption. Mathematical Methods in the Applied Sciences 44:6, pages 5040-5049.
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Bruno Buonaguidi. (2021) On the dimension reduction in the quickest detection problem for diffusion processes with exponential penalty for the delay. Electronic Communications in Probability 26:none.
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Sören Christensen & Albrecht Irle. (2020) The monotone case approach for the solution of certain multidimensional optimal stopping problems. Stochastic Processes and their Applications 130:4, pages 1972-1993.
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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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Sören Christensen, Fabián Crocce, Ernesto Mordecki & Paavo Salminen. (2019) On optimal stopping of multidimensional diffusions. Stochastic Processes and their Applications 129:7, pages 2561-2581.
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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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Sören Christensen & Kristoffer Lindensjö. (2018) On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems. SIAM Journal on Control and Optimization 56:6, pages 4228-4255.
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Sören Christensen & Paavo Salminen. (2017) Multidimensional investment problem. Mathematics and Financial Economics 12:1, pages 75-95.
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Lu Ye. (2017) Value Function and Optimal Rule on the Optimal Stopping Problem for Continuous-Time Markov Processes. Chinese Journal of Mathematics 2017, pages 1-10.
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Luis H. R. Alvarez E.Paavo Salminen. (2017) Timing in the presence of directional predictability: optimal stopping of skew Brownian motion. Mathematical Methods of Operations Research 86:2, pages 377-400.
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Laila El-Ghandour & Timothy C. Johnson. (2017) A methodology to assess the economic impact of power storage technologies. Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences 375:2100, pages 20160303.
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Sören Christensen & Albrecht Irle. 2016. Stochastic Processes and Models in Operations Research. Stochastic Processes and Models in Operations Research 218 229 .
Yang Sun & Xiaohui Ai. (2016) An Optimal Stopping Problem for Jump Diffusion Logistic Population Model. Mathematical Problems in Engineering 2016, pages 1-5.
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Timothy C. Johnson. (2015) The solution of some discretionary stopping problems:. IMA Journal of Mathematical Control and Information, pages dnv060.
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Sören Christensen & Jukka Lempa. (2014) Resolvent-Techniques for Multiple Exercise Problems. Applied Mathematics & Optimization 71:1, pages 95-123.
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K. L. Helmes, R. H. Stockbridge & C. Zhu. (2015) A Measure Approach for Continuous Inventory Models: Discounted Cost Criterion. SIAM Journal on Control and Optimization 53:4, pages 2100-2140.
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Masahiko Egami & Kazutoshi Yamazaki. (2016) On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models. Advances in Applied Probability 46:1, pages 139-167.
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Sören Christensen. (2012) A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING. Mathematical Finance 24:1, pages 156-172.
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Sören Christensen. (2014) On the solution of general impulse control problems using superharmonic functions. Stochastic Processes and their Applications 124:1, pages 709-729.
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Sören Christensen. (2013) Optimal decision under ambiguity for diffusion processes. Mathematical Methods of Operations Research 77:2, pages 207-226.
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Damien Lamberton & Mihail Zervos. (2013) On the optimal stopping of a one-dimensional diffusion. Electronic Journal of Probability 18:none.
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Savas Dayanik & Semih O. Sezer. (2012) Multisource Bayesian sequential binary hypothesis testing problem. Annals of Operations Research 201:1, pages 99-130.
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Jukka Lempa. (2012) Optimal stopping with random exercise lag. Mathematical Methods of Operations Research 75:3, pages 273-286.
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Katsumasa Nishide & L. C. G. Rogers. (2016) Optimal Time to Exchange Two Baskets. Journal of Applied Probability 48:1, pages 21-30.
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Laila El-Ghandour & Timothy C. Johnson. (2015) A Methodology to Assess the Economic Impact of Power Storage Technologies. SSRN Electronic Journal.
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Timothy C. Johnson. (2014) The Solution of Discretionary Stopping Problems with Applications to the Optimal Timing of Investment Decisions. SSRN Electronic Journal.
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