Teoriya Veroyatnostei i ee Primeneniya
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor
Guidelines for authors
Submit a manuscript

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Teor. Veroyatnost. i Primenen.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Teoriya Veroyatnostei i ee Primeneniya, 2000, Volume 45, Issue 4, Pages 657–669
DOI: https://doi.org/10.4213/tvp497 (Mi tvp497) 		 
This article is cited in 39 scientific papers (total in 39 papers)

A note on optimal stopping of regular diffusions under random discounting

M. Beibel, H. R. Lerche

Institut für Mathematische Stochastik, Universität Freiburg, Germany
Full-text PDF (575 kB) Citations (39)
DOI: https://doi.org/10.4213/tvp497
Abstract: Let X be a one-dimensional regular diffusion, $A$ a positive continuous additive functional of $X$, and h a measurable real-valued function. A method is proposed to determine a stopping rule $T^*$ that maximizes $\mathbf{E}\{e^{-A_T} h(X_T) 1_{\{T < \infty\}}\}$ over all stopping times $T$ of $X$. Several examples are discussed.
Keywords: diffusions, generalized parking problems, optimal stopping, random regret.
Received: 04.02.1999
English version:
Theory of Probability and its Applications, 2001, Volume 45, Issue 4, Pages 547–557
DOI: https://doi.org/10.1137/S0040585X9797852X
Bibliographic databases:
Language: English
Citation: M. Beibel, H. R. Lerche, “A note on optimal stopping of regular diffusions under random discounting”, Teor. Veroyatnost. i Primenen., 45:4 (2000), 657–669; Theory Probab. Appl., 45:4 (2001), 547–557
Citation in format AMSBIB
\Bibitem{BeiLer00}
\by M.~Beibel, H.~R.~Lerche
\paper A~note on optimal stopping of regular diffusions under random discounting
\jour Teor. Veroyatnost. i Primenen.
\yr 2000
\vol 45
\issue 4
\pages 657--669
\mathnet{http://mi.mathnet.ru/tvp497}
\crossref{https://doi.org/10.4213/tvp497}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1968720}
\zmath{https://zbmath.org/?q=an:0994.60046}
\transl
\jour Theory Probab. Appl.
\yr 2001
\vol 45
\issue 4
\pages 547--557
\crossref{https://doi.org/10.1137/S0040585X9797852X}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000171923100001}
Linking options:
  • https://www.mathnet.ru/eng/tvp497
  • https://doi.org/10.4213/tvp497
  • https://www.mathnet.ru/eng/tvp/v45/i4/p657
    • This publication is cited in the following 39 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024