On the optimal stopping problem for one-dimensional diffusions
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References listed on IDEAS
- Bank, Peter & El Karoui, Nicole, 2001. "A stochastic representation theorem with applications to optimization and obstacle problems," SFB 373 Discussion Papers 2002,4, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- repec:spr:compst:v:54:y:2001:i:2:p:315-337 is not listed on IDEAS
- Karatzas, Ioannis & Ocone, Daniel, 2002. "A leavable bounded-velocity stochastic control problem," Stochastic Processes and their Applications, Elsevier, vol. 99(1), pages 31-51, May.
- Broadie, Mark & Detemple, Jerome, 1995. "American Capped Call Options on Dividend-Paying Assets," Review of Financial Studies, Society for Financial Studies, vol. 8(1), pages 161-191.
More about this item
KeywordsOptimal stopping Diffusions Principle of smooth-fit Convexity;
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