Concepedia

Optimal Stopping For Diffusions

Optimal Stopping for Diffusions is a mathematical framework within stochastic control theory that determines the optimal time to take a given action in order to maximize or minimize an expected reward or cost functional associated with a continuous-time diffusion process.

88

Publications

7.6K

Citations

101

Authors

79

Institutions

Publications per year

2017–2026

9

Parents

Publications

88

Stochastic Differential Equations: An Introduction with Applications.

Saul Jacka, Bernt Øksendal · Journal of the American Statistical Association · 1987 · 4.1K citations

, , +17

On the optimal stopping problem for one-dimensional diffusions

Savaş Dayanik, Ioannis Karatzas · Stochastic Processes and their Applications · 2003 · 258 citations

, , +13

Optimal stopping, free boundary, and American option in a jump-diffusion model

Huyên Pham · Applied Mathematics & Optimization · 1997 · 163 citations

, , +17

Optimal stopping of the maximum process: the maximality principle

Goran Peškir · The Annals of Probability · 1998 · 113 citations · Full text

, , +14

Optimal Stopping of One-Dimensional Diffusions

Paavo Salminen · Mathematische Nachrichten · 1985 · 111 citations

, , +13

1–5 of 88

Authors

101

  1. GP
    Goran Peškir

    Aarhus University, Denmark

    5 publications · 237 citations

    5

    h-index

  2. IK
    Ioannis Karatzas

    Columbia University, United States

    5 publications · 370 citations

    5

    h-index

  3. PV
    Pavel V. Gapeev

    London School of Economics and Political Science, United Kingdom

    5 publications · 113 citations

    5

    h-index

  4. AN
    Albert N. Shiryaev

    Steklov Mathematical Institute, Russia

    4 publications · 131 citations

    4

    h-index

  5. LH
    Luis H. R. Alvarez

    University of Turku, Finland

    4 publications · 249 citations

    4

    h-index

1–5 of 101

Institutions

79

  1. London School of Economics and Political Science

    London, United Kingdom

    7 h-index

    9 publications

    209 citations

  2. University of Manchester

    Manchester, United Kingdom

    5 h-index

    5 publications

    163 citations

  3. Columbia University

    New York, United States

    5 h-index

    7 publications

    412 citations

  4. University of Minnesota

    Minneapolis, United States

    4 h-index

    5 publications

    269 citations

  5. University of Freiburg

    Freiburg im Breisgau, Germany

    3 h-index

    5 publications

    118 citations

  6. Steklov Mathematical Institute

    Moscow, Russia

    3 h-index

    4 publications

    86 citations

  7. Princeton University

    Princeton, United States

    3 h-index

    4 publications

    447 citations

  8. University of Colorado Boulder

    Boulder, United States

    2 h-index

    2 publications

    77 citations

1–8 of 79

Venues

  1. SIAM Journal on Control and Optimization

    11 publications · 448 citations

    10

    h-index

  2. The Annals of Applied Probability

    8 publications · 363 citations

    8

    h-index

  3. Stochastics

    7 publications · 185 citations

    7

    h-index

  4. Advances in Applied Probability

    AAP · 6 publications · 155 citations

    6

    h-index

  5. Theory of Probability and Its Applications

    5 publications · 116 citations

    5

    h-index

1–5