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Conference Paper: Some results on optimal stopping problems for one-dimensional regular diffusions

TitleSome results on optimal stopping problems for one-dimensional regular diffusions
Authors
Song, JHuang, DC
Issue Date2017
PublisherSociety for Industrial and Applied Mathematics.
Citation
Society for Industrial and Applied Mathematics (SIAM) Conference on Control and its Applications (CT17) held jointly with 2017 SIAM Annual Meeting, Pittsburgh, PA, 10-12 July 2017. In AN17-CT17-GD17 Abstracts Book, p. 176 How to Cite?
AbstractFor a class of optimal stopping problems, we provide a complete characterization for optimal stopping/continuation regions. Some comparison principles for critical levels and value functions are also given. The key tool is the characterization of the value functions for general onedimensional regular diffusion processes developed by Savas Dayanik and Ioannis Karatzas in 2003.
Persistent Identifierhttp://hdl.handle.net/10722/251577

 

DC FieldValueLanguage
dc.contributor.authorSong, J-
dc.contributor.authorHuang, DC-
dc.date.accessioned2018-03-07T08:16:50Z-
dc.date.available2018-03-07T08:16:50Z-
dc.date.issued2017-
dc.identifier.citationSociety for Industrial and Applied Mathematics (SIAM) Conference on Control and its Applications (CT17) held jointly with 2017 SIAM Annual Meeting, Pittsburgh, PA, 10-12 July 2017. In AN17-CT17-GD17 Abstracts Book, p. 176-
dc.identifier.urihttp://hdl.handle.net/10722/251577-
dc.description.abstractFor a class of optimal stopping problems, we provide a complete characterization for optimal stopping/continuation regions. Some comparison principles for critical levels and value functions are also given. The key tool is the characterization of the value functions for general onedimensional regular diffusion processes developed by Savas Dayanik and Ioannis Karatzas in 2003.-
dc.languageeng-
dc.publisherSociety for Industrial and Applied Mathematics.-
dc.relation.ispartofSIAM Conference on Control and its Applications-
dc.titleSome results on optimal stopping problems for one-dimensional regular diffusions-
dc.typeConference_Paper-
dc.identifier.emailSong, J: txjsong@hku.hk-
dc.identifier.authoritySong, J=rp01700-
dc.identifier.hkuros282693-
dc.identifier.spage176-
dc.identifier.epage176-
dc.publisher.placeUnited States-

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