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On the optimal stopping problem for one-dimensional diffusions
12 references·16 citing·27 second hop
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References

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  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2008Stochastic differential equations and applications4,595 cited
  • 2003Stochastic Differential Equations2,978 cited
  • 1991Brownian motion and stochastic calculus2,089 cited
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  • 1976Stochastic Differential Equations and Applications1,378 cited
  • 1967DIFFUSION PROCESSES AND THEIR SAMPLE PATHS494 cited
  • 1981Les Aspects Probabilistes Du Controle Stochastique448 cited

Cited by

  • 2013Brownian Models of Performance and Control151 cited
  • 2015OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT113 cited
  • 2019Investment under uncertainty with financial constraints91 cited
  • 2015On the smoothness of value functions and the existence of optimal strategies in diffusion models

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82 cited
  • 2006Optimal dividend policy and growth option73 cited
  • 2008Optimal Multiple Stopping of Linear Diffusions69 cited
  • 2006On the value of optimal stopping games59 cited
  • 2007On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems57 cited
  • 2009Optimal Switching over Multiple Regimes56 cited
  • 2010On the One-Dimensional Optimal Switching Problem55 cited
  • 2010Invest or Exit? Optimal Decisions in the Face of a Declining Profit Stream51 cited
  • 2005Properties of game options50 cited
  • 2014Credit market frictions and capital structure dynamics45 cited
  • 2013Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach45 cited
  • 2012Optimal Stopping with Information Constraint42 cited
  • 2011A harmonic function technique for the optimal stopping of diffusions42 cited