Matches in SemOpenAlex for { <https://semopenalex.org/work/W2116797245> ?p ?o ?g. }
Showing items 1 to 99 of
99
with 100 items per page.
- W2116797245 abstract "Contributions to the Theory of Optimal Stopping for One–Dimensional Diffusions Savas Dayanik Advisor: Ioannis Karatzas We give a new characterization of excessive functions with respect to arbitrary one–dimensional regular diffusion processes, using the notion of concavity. We show that excessive functions are essentially concave functions, in some generalized sense, and vice–versa. This, in turn, allows us to characterize the value function of the optimal stopping problem, for the same class of processes, as “the smallest nonnegative concave majorant of the reward function”. In this sense, we generalize results of Dynkin– Yushkevich for the standard Brownian motion. Moreover, we show that there is essentially one class of optimal stopping problems, namely, the class of undiscounted optimal stopping problems for the standard Brownian motion. Hence, optimal stopping problems for arbitrary diffusion processes are not inherently more difficult than those for Brownian motion. The concavity of the value functions also allows us to draw sharper conclusions about their smoothness, thanks to the nice properties of concave functions. We can therefore offer a new perspective and new facts about the smooth–fit principle and the method of variational inequalities in the context of optimal stopping. The results are illustrated in detail on a number of non–trivial, concrete optimal stopping problems, both old and new." @default.
- W2116797245 created "2016-06-24" @default.
- W2116797245 creator A5081203045 @default.
- W2116797245 date "2002-01-01" @default.
- W2116797245 modified "2023-09-27" @default.
- W2116797245 title "Contributions to the Theory of Optimal Stopping for One-Dimensional Diusions" @default.
- W2116797245 cites W1532331202 @default.
- W2116797245 cites W1545370368 @default.
- W2116797245 cites W1580561995 @default.
- W2116797245 cites W1967350386 @default.
- W2116797245 cites W1977844252 @default.
- W2116797245 cites W1987538014 @default.
- W2116797245 cites W2033204695 @default.
- W2116797245 cites W2065132855 @default.
- W2116797245 cites W2081751350 @default.
- W2116797245 cites W2082131924 @default.
- W2116797245 cites W2160639156 @default.
- W2116797245 cites W2170316986 @default.
- W2116797245 hasPublicationYear "2002" @default.
- W2116797245 type Work @default.
- W2116797245 sameAs 2116797245 @default.
- W2116797245 citedByCount "0" @default.
- W2116797245 crossrefType "journal-article" @default.
- W2116797245 hasAuthorship W2116797245A5081203045 @default.
- W2116797245 hasConcept C101615488 @default.
- W2116797245 hasConcept C102634674 @default.
- W2116797245 hasConcept C105795698 @default.
- W2116797245 hasConcept C112401455 @default.
- W2116797245 hasConcept C126255220 @default.
- W2116797245 hasConcept C134306372 @default.
- W2116797245 hasConcept C14036430 @default.
- W2116797245 hasConcept C14646407 @default.
- W2116797245 hasConcept C151730666 @default.
- W2116797245 hasConcept C154945302 @default.
- W2116797245 hasConcept C2777212361 @default.
- W2116797245 hasConcept C2779343474 @default.
- W2116797245 hasConcept C28826006 @default.
- W2116797245 hasConcept C3017618536 @default.
- W2116797245 hasConcept C33923547 @default.
- W2116797245 hasConcept C41008148 @default.
- W2116797245 hasConcept C52832964 @default.
- W2116797245 hasConcept C56739046 @default.
- W2116797245 hasConcept C68710425 @default.
- W2116797245 hasConcept C78458016 @default.
- W2116797245 hasConcept C86803240 @default.
- W2116797245 hasConcept C88757350 @default.
- W2116797245 hasConcept C99414536 @default.
- W2116797245 hasConcept C99888217 @default.
- W2116797245 hasConceptScore W2116797245C101615488 @default.
- W2116797245 hasConceptScore W2116797245C102634674 @default.
- W2116797245 hasConceptScore W2116797245C105795698 @default.
- W2116797245 hasConceptScore W2116797245C112401455 @default.
- W2116797245 hasConceptScore W2116797245C126255220 @default.
- W2116797245 hasConceptScore W2116797245C134306372 @default.
- W2116797245 hasConceptScore W2116797245C14036430 @default.
- W2116797245 hasConceptScore W2116797245C14646407 @default.
- W2116797245 hasConceptScore W2116797245C151730666 @default.
- W2116797245 hasConceptScore W2116797245C154945302 @default.
- W2116797245 hasConceptScore W2116797245C2777212361 @default.
- W2116797245 hasConceptScore W2116797245C2779343474 @default.
- W2116797245 hasConceptScore W2116797245C28826006 @default.
- W2116797245 hasConceptScore W2116797245C3017618536 @default.
- W2116797245 hasConceptScore W2116797245C33923547 @default.
- W2116797245 hasConceptScore W2116797245C41008148 @default.
- W2116797245 hasConceptScore W2116797245C52832964 @default.
- W2116797245 hasConceptScore W2116797245C56739046 @default.
- W2116797245 hasConceptScore W2116797245C68710425 @default.
- W2116797245 hasConceptScore W2116797245C78458016 @default.
- W2116797245 hasConceptScore W2116797245C86803240 @default.
- W2116797245 hasConceptScore W2116797245C88757350 @default.
- W2116797245 hasConceptScore W2116797245C99414536 @default.
- W2116797245 hasConceptScore W2116797245C99888217 @default.
- W2116797245 hasLocation W21167972451 @default.
- W2116797245 hasOpenAccess W2116797245 @default.
- W2116797245 hasPrimaryLocation W21167972451 @default.
- W2116797245 hasRelatedWork W150812720 @default.
- W2116797245 hasRelatedWork W1532213801 @default.
- W2116797245 hasRelatedWork W1533784187 @default.
- W2116797245 hasRelatedWork W2038647330 @default.
- W2116797245 hasRelatedWork W2084700131 @default.
- W2116797245 hasRelatedWork W2152092364 @default.
- W2116797245 hasRelatedWork W2155643822 @default.
- W2116797245 hasRelatedWork W2280038150 @default.
- W2116797245 hasRelatedWork W2492690747 @default.
- W2116797245 hasRelatedWork W2562738836 @default.
- W2116797245 hasRelatedWork W2761095230 @default.
- W2116797245 hasRelatedWork W2769309772 @default.
- W2116797245 hasRelatedWork W2904475017 @default.
- W2116797245 hasRelatedWork W2941060231 @default.
- W2116797245 hasRelatedWork W2950680346 @default.
- W2116797245 hasRelatedWork W2951192952 @default.
- W2116797245 hasRelatedWork W2969557097 @default.
- W2116797245 hasRelatedWork W2972097783 @default.
- W2116797245 hasRelatedWork W2974761070 @default.
- W2116797245 hasRelatedWork W3124398637 @default.
- W2116797245 isParatext "false" @default.
- W2116797245 isRetracted "false" @default.
- W2116797245 magId "2116797245" @default.
- W2116797245 workType "article" @default.