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Continuity of the optimal stopping boundary for two-dimensional diffusions
8 references·2 citing·27 second hop
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this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2007A Change-of-Variable Formula with Local Time on Surfaces228 cited
  • 2005ON THE AMERICAN OPTION PROBLEM207 cited
  • 2005A Change-of-Variable Formula with Local Time on Curves176 cited
  • 2009Selling a stock at the ultimate maximum90 cited
  • 1971On Moment Inequalities for Stochastic Integrals78 cited
  • 2020Global $C^{1}$ regularity of the value function in optimal stopping problems50 cited
  • 2017Quickest detection problems for Bessel processes39 cited

Cited by

  • 2020Optimal dividends with partial information and stopping of a degenerate reflecting diffusion24 cited
  • 2019An Optimal Stopping Problem of Detecting Entry Points for Trading Modeled by Geometric Brownian Motion22 cited

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