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

Principle of smooth fit and diffusions with angles

Pages 293-302 | Received 02 May 2006, Accepted 21 Nov 2006, Published online: 05 Nov 2008

References

  • Alili , L. and Kyprianou , A.E. 2005 . Some remarks on first passage of Lévy processes, the American put and pasting principles . The Annals of Applied Probability , 15 : 2062 – 2080 .
  • Alvarez , L.H.R. 2001 . Reward functionals, salvage values, and optimal stopping . Mathematical Methods of Operational Research , 54 : 315 – 337 .
  • Bather , J. 1970 . Optimal stopping problems for Brownian motion . Advances in Applied Probability , 2 : 259 – 286 .
  • Dayanik , S. and Karatzas , I. 2003 . On the optimal stopping problem for one-dimensional diffusions . Stochastic Processes and their Applications , 107 : 173 – 212 .
  • Dynkin , E.B. and Yushkevich , A.A. 1969 . Markov Processes: Theorems and Problems , New York, NY : Plenum Press .
  • Brekke , K.A. and Øksendal , B. 1991 . “ The high contact principle as a sufficiency condition for optimal stopping ” . In Stochastic Models and Option Values 187 – 208 . (Loen, 1989), Contrib. Econom. Anal. 200, North-Holland
  • Chernoff , H. 1968 . Optimal stochastic control . Sankhyā Series A , 30 : 221 – 252 .
  • Grigelionis , B.I. and Shiryaev , A.N. 1966 . On Stefan's problem and optimal stopping rules for Markov processes . Theory of Probability and Its Applications , 11 : 541 – 558 .
  • Jacka , S.D. 1993 . Local times, optimal stopping and semimartingales . The Annals of Probability , 21 : 329 – 339 .
  • McKean , H.P. Jr. 1965 . Appendix: A free boundary problem for the heat equation arising from a problem of mathematical economics . Industrial Management Review , 6 : 32 – 39 .
  • Mikhalevich , V.S. 1958 . A Bayes test of two hypotheses concerning the mean of a normal process. (Ukrainian) . Vīsnick Kiïvs'kogo Unīversity , 1 : 254 – 264 .
  • Øksendal , B. 1990 . “ The high contact principle in optimal stopping and stochastic waves ” . In Seminar on Stochastic Processes 177 – 192 . (San Diego, CA, 1989). Progr. Probab. 18, Birkhäuser
  • Øksendal , B. and Reikvam , K. 1998 . Viscosity solutions of optimal stopping problems . Stochastics Stochastics Report , 62 : 285 – 301 .
  • Peskir , G. and Shiryaev , A.N. 2006 . Optimal Stopping and Free-Boundary Problems Lectures in Mathematics, ETH Zürich, Birkhäuser
  • Revuz , D. and Yor , M. 1999 . Continuous Martingales and Brownian Motion , New York, NY : Springer .
  • Salminen , P. 1985 . Optimal stopping of one-dimensional diffusions . Mathematische Nachrichten , 124 : 85 – 101 .
  • Shiryaev , A.N. 1978 . Optimal Stopping Rules , New York, NY : Springer .
  • van Moerbeke , P. 1976 . On optimal stopping and free boundary problems . Archive for Rational Mechanics and Analysis , 60 : 101 – 148 .

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:

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:

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.