FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1507815144> ?p ?o ?g. }

• W1507815144 abstract "The solution is found to the optimal stopping problem with payoff $$sup_{tau} E(S_{tau} - int_0^{tau} c(X_t)dt),$$ where $S = (S_t)_{t geq 0}$ is the maximum process associated with the one-dimensional time-homogeneous diffusion $X = (X_t)_{t geq 0}$, the function $x mapsto c(x)$ is positive and continuous, and the supremum is taken over all stopping times $tau$ of $X$ for which the integral has finite expectation. It is proved, under no extra conditions, that this problem has a solution; that is, the payoff is finite and there is an optimal stopping time, if and only if the following maximality principle holds: the first-order nonlinear differential equation $$g'(s) = frac{sigma^2 (g(s))L'(g(s))}{2c(g(s))(L(s) - L(g(s)))}$$ admits a maximal solution $s mapsto g_*(s)$ which stays strictly below the diagonal in $mathbb{R}^2$. [In this equation $x mapsto sigma(x)$ is the diffusion coefficient and $x mapsto L(x)$ the scale function of $X$.] In this case the stopping time $$tau_* = inf{t > 0|X_t leq g_*(S_t)}$$ is proved optimal, and explicit formulas for the payoff are given. The result has a large number of applications and may be viewed as the cornerstone in a general treatment of the maximum process." @default.
• W1507815144 created "2016-06-24" @default.
• W1507815144 creator A5053033536 @default.
• W1507815144 date "1998-10-01" @default.
• W1507815144 modified "2023-10-03" @default.
• W1507815144 title "Optimal stopping of the maximum process: the maximality principle" @default.
• W1507815144 cites W1533018950 @default.
• W1507815144 cites W1580561995 @default.
• W1507815144 cites W1591710988 @default.
• W1507815144 cites W1920130955 @default.
• W1507815144 cites W1966652723 @default.
• W1507815144 cites W1967612246 @default.
• W1507815144 cites W1982381011 @default.
• W1507815144 cites W1990393924 @default.
• W1507815144 cites W1997570325 @default.
• W1507815144 cites W2014608922 @default.
• W1507815144 cites W2031967155 @default.
• W1507815144 cites W2052249283 @default.
• W1507815144 cites W2067818161 @default.
• W1507815144 cites W2090809521 @default.
• W1507815144 cites W2124173388 @default.
• W1507815144 cites W2127836939 @default.
• W1507815144 cites W2131691221 @default.
• W1507815144 cites W2144774602 @default.
• W1507815144 cites W2164305904 @default.
• W1507815144 cites W2497607697 @default.
• W1507815144 doi "https://doi.org/10.1214/aop/1022855875" @default.
• W1507815144 hasPublicationYear "1998" @default.
• W1507815144 type Work @default.
• W1507815144 sameAs 1507815144 @default.
• W1507815144 citedByCount "98" @default.
• W1507815144 countsByYear W15078151442012 @default.
• W1507815144 countsByYear W15078151442013 @default.
• W1507815144 countsByYear W15078151442014 @default.
• W1507815144 countsByYear W15078151442015 @default.
• W1507815144 countsByYear W15078151442016 @default.
• W1507815144 countsByYear W15078151442017 @default.
• W1507815144 countsByYear W15078151442018 @default.
• W1507815144 countsByYear W15078151442019 @default.
• W1507815144 countsByYear W15078151442020 @default.
• W1507815144 countsByYear W15078151442021 @default.
• W1507815144 countsByYear W15078151442022 @default.
• W1507815144 countsByYear W15078151442023 @default.
• W1507815144 crossrefType "journal-article" @default.
• W1507815144 hasAuthorship W1507815144A5053033536 @default.
• W1507815144 hasBestOaLocation W15078151441 @default.
• W1507815144 hasConcept C105795698 @default.
• W1507815144 hasConcept C114614502 @default.
• W1507815144 hasConcept C118615104 @default.
• W1507815144 hasConcept C121332964 @default.
• W1507815144 hasConcept C126255220 @default.
• W1507815144 hasConcept C130367717 @default.
• W1507815144 hasConcept C134306372 @default.
• W1507815144 hasConcept C14036430 @default.
• W1507815144 hasConcept C144237770 @default.
• W1507815144 hasConcept C22171661 @default.
• W1507815144 hasConcept C2524010 @default.
• W1507815144 hasConcept C2778049214 @default.
• W1507815144 hasConcept C33923547 @default.
• W1507815144 hasConcept C52832964 @default.
• W1507815144 hasConcept C62520636 @default.
• W1507815144 hasConcept C78458016 @default.
• W1507815144 hasConcept C86803240 @default.
• W1507815144 hasConcept C95611797 @default.
• W1507815144 hasConcept C99414536 @default.
• W1507815144 hasConcept C99888217 @default.
• W1507815144 hasConceptScore W1507815144C105795698 @default.
• W1507815144 hasConceptScore W1507815144C114614502 @default.
• W1507815144 hasConceptScore W1507815144C118615104 @default.
• W1507815144 hasConceptScore W1507815144C121332964 @default.
• W1507815144 hasConceptScore W1507815144C126255220 @default.
• W1507815144 hasConceptScore W1507815144C130367717 @default.
• W1507815144 hasConceptScore W1507815144C134306372 @default.
• W1507815144 hasConceptScore W1507815144C14036430 @default.
• W1507815144 hasConceptScore W1507815144C144237770 @default.
• W1507815144 hasConceptScore W1507815144C22171661 @default.
• W1507815144 hasConceptScore W1507815144C2524010 @default.
• W1507815144 hasConceptScore W1507815144C2778049214 @default.
• W1507815144 hasConceptScore W1507815144C33923547 @default.
• W1507815144 hasConceptScore W1507815144C52832964 @default.
• W1507815144 hasConceptScore W1507815144C62520636 @default.
• W1507815144 hasConceptScore W1507815144C78458016 @default.
• W1507815144 hasConceptScore W1507815144C86803240 @default.
• W1507815144 hasConceptScore W1507815144C95611797 @default.
• W1507815144 hasConceptScore W1507815144C99414536 @default.
• W1507815144 hasConceptScore W1507815144C99888217 @default.
• W1507815144 hasIssue "4" @default.
• W1507815144 hasLocation W15078151441 @default.
• W1507815144 hasOpenAccess W1507815144 @default.
• W1507815144 hasPrimaryLocation W15078151441 @default.
• W1507815144 hasRelatedWork W1488326122 @default.
• W1507815144 hasRelatedWork W1967612246 @default.
• W1507815144 hasRelatedWork W1988470053 @default.
• W1507815144 hasRelatedWork W2155643822 @default.
• W1507815144 hasRelatedWork W2972736410 @default.
• W1507815144 hasRelatedWork W2994978960 @default.
• W1507815144 hasRelatedWork W3080706152 @default.
• W1507815144 hasRelatedWork W3124398637 @default.
• W1507815144 hasRelatedWork W3125000247 @default.
• W1507815144 hasRelatedWork W4287992698 @default.

• next