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Journal article

Constructing Time-Homogeneous Generalised Diffusions Consistent with Optimal Stopping Values

Abstract:: Consider a set of discounted optimal stopping problems for a one-parameter family of objective functions and a fixed diffusion process, started at a fixed point. A standard problem in stochastic control/optimal stopping is to solve for the problem value in this setting. In this article we consider an inverse problem; given the set of problem values for a family of objective functions, we aim to recover the diffusion. Under a natural assumption on the family of objective functions we can chara...
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APA Style

Hobson, D., & Klimmek, M. (2010). Constructing Time-Homogeneous Generalised Diffusions Consistent with Optimal Stopping Values. Stochastics, 83(4-6), 477–503.

MLA Style

Hobson, D., and M. Klimmek. “Constructing Time-Homogeneous Generalised Diffusions Consistent With Optimal Stopping Values.” Stochastics, vol. 83, no. 4-6, 2010, pp. 477–503.

Chicago Style

Hobson, D, and M Klimmek. 2010. “Constructing Time-Homogeneous Generalised Diffusions Consistent With Optimal Stopping Values.” Stochastics 83 (4-6): 477–503.
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Publisher copy:: 10.1080/17442508.2010.522237

Authors

+ Hobson, D More by this author

Role:

Author

+ Klimmek, M More by this author

Institution:

University of Oxford

Division:

MPLS

Department:

Mathematical Institute

Role:

Author

Bibliographic Details

Journal:: Stochastics
Volume:: 83
Issue:: 4-6
Pages:: 477-503
Publication date:: 2010-05-02
DOI:: 10.1080/17442508.2010.522237
EISSN:: 1744-2516
ISSN:: 1744-2508

Item Description

Language:: English
Keywords:: 60G40

math.PR

math.OC
Pubs id:: pubs:369822
UUID:: uuid:cdbab549-666b-406e-9099-97800780d71f
Local pid:: pubs:369822
Source identifiers:: 369822
Deposit date:: 2013-11-16

Terms of use

Copyright date:: 2010

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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