The shape of the value function under Poisson optimal stopping
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DOI: 10.1016/j.spa.2020.12.001
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Cited by:
- David Hobson & Gechun Liang & Edward Wang, 2021. "Callable convertible bonds under liquidity constraints and hybrid priorities," Papers 2111.02554, arXiv.org, revised Oct 2024.
- Alessandro Milazzo, 2024. "On the Monotonicity of the Stopping Boundary for Time-Inhomogeneous Optimal Stopping Problems," Journal of Optimization Theory and Applications, Springer, vol. 203(1), pages 336-358, October.
- Alvarez E., Luis H.R. & Lempa, Jukka & Saarinen, Harto & Sillanpää, Wiljami, 2024. "Solutions for Poissonian stopping problems of linear diffusions via extremal processes," Stochastic Processes and their Applications, Elsevier, vol. 172(C).
- Takuji Arai & Masahiko Takenaka, 2022. "Constrained optimal stopping under a regime-switching model," Papers 2204.07914, arXiv.org.
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Keywords
Poisson optimal stopping; Diffusion process; Monotonicity and convexity; Coupling; Time-change;All these keywords.
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