Parameter dependent optimal thresholds, indifference levels and inverse optimal stopping problems
Consider the classic infinite-horizon problem of stopping a one-dimensional diffusion to optimise between running and terminal rewards and suppose we are given a parametrised family of such problems. We provide a general theory of parameter dependence in infinite-horizon stopping problems for which...
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| Format: | Journal article |
| Language: | English |
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Applied Probability Trust
2013
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