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On optimal stopping and free boundary problems

Published online by Cambridge University Press:  01 July 2016

Pierre van Moerbeke
Pierre van Moerbeke*
Affiliation:
The Rockefeller University
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Abstract

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Information

Type
Second conference on stochastic processes and applications
Information
Advances in Applied Probability , Volume 5 , Issue 1 , April 1973 , pp. 33 - 35
Copyright
Copyright © Applied Probability Trust 1973 

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References

[1] Chernoff, H. (1968) Optimal stochastic control. Sankhyā 30, 221–252.Google Scholar
[2] Dvoretzky, A. (1965) Existence and properties of certain optimal stopping rules. Proc. Fifth Berkeley Symp. on Math. Statist. Prob. 1, 441–452.Google Scholar
[3] Grigelionis, B. I. and Shiryaev, A. N. (1966) On Stefan's problem and optimal stopping rules for Markov processes. Theor. Probability Appl. 9, 541–558.CrossRefGoogle Scholar
[4] McKean, H. P. (1965) Appendix: A free boundary problem for the heat equation arising from a problem in mathematical economics. Industrial Management Review 6, 2, 32–39.Google Scholar
[5] Samuelson, P. A. (1965) Rational theory of warrant pricing. Industrial Management Review 6, 2, 13–31.Google Scholar
[6] Taylor, H. M. (1968) Optimal stopping in a Markov process. Ann. Math. Statist. 39, 1333–1344.CrossRefGoogle Scholar
[7] van Moerbeke, P. (1972) On optimal stopping and free boundary problems. To appear in Acta Math. Google Scholar
[8] van Moerbeke, P. (1972) Stochastic optimization problems. (Invited lecture presented at the Conference on Stochastic Differential Equations, Edmonton, Alberta, Canada, July 1972.) To appear in the Rocky Mountains Math. J. Google Scholar