Hostname: page-component-6898cfcb55-zkb6p Total loading time: 0 Render date: 2026-11-11T18:22:58.359Z Has data issue: false hasContentIssue false
  • English
  • Français

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
Get accessRights & Permissions [Opens in a new window]

Abstract

An abstract is not available for this content so a preview has been provided. Please use the Get access link above for information on how to access this content.
Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'

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 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable

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