{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2023,4,26]],"date-time":"2023-04-26T09:40:37Z","timestamp":1682502037930},"reference-count":27,"publisher":"Cambridge University Press (CUP)","issue":"02","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Appl. Probab."],"published-print":{"date-parts":[[2014,6]]},"abstract":"<jats:p>Consider the classic infinite-horizon problem of stopping a one-dimensional diffusion to optimise between running and terminal rewards, and suppose that we are given a parametrised family of such problems. We provide a general theory of parameter dependence in infinite-horizon stopping problems for which threshold strategies are optimal. The crux of the approach is a supermodularity condition which guarantees that the family of problems is indexable by a set-valued map which we call the indifference map. This map is a natural generalisation of the allocation (Gittins) index, a classical quantity in the theory of dynamic allocation. Importantly, the notion of indexability leads to a framework for inverse optimal stopping problems.<\/jats:p>","DOI":"10.1017\/s0021900200011384","type":"journal-article","created":{"date-parts":[[2016,3,29]],"date-time":"2016-03-29T14:51:10Z","timestamp":1459263070000},"page":"492-511","source":"Crossref","is-referenced-by-count":0,"title":["Parameter Dependent Optimal Thresholds, Indifference Levels and Inverse Optimal Stopping Problems"],"prefix":"10.1017","volume":"51","author":[{"given":"Martin","family":"Klimmek","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2016,2,19]]},"reference":[{"key":"S0021900200011384_ref3","volume-title":"Comparative statics under uncertainty: Single crossing properties and log-supermodularity","year":"1996"},{"key":"S0021900200011384_ref20","volume-title":"Risikoneigung und Besteuerung","year":"1986"},{"key":"S0021900200011384_ref1","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024908004920"},{"key":"S0021900200011384_ref28","first-page":"287","volume":"25A","year":"1988","journal-title":"J. Appl. Prob."},{"key":"S0021900200011384_ref19","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176993381"},{"key":"S0021900200011384_ref18","doi-asserted-by":"publisher","DOI":"10.2307\/2297447"},{"key":"S0021900200011384_ref17","doi-asserted-by":"crossref","first-page":"477","DOI":"10.1080\/17442508.2010.522237","volume":"83","year":"2011","journal-title":"Stochastics"},{"key":"S0021900200011384_ref16","doi-asserted-by":"publisher","DOI":"10.1006\/jeth.1994.1016"},{"key":"S0021900200011384_ref15","doi-asserted-by":"publisher","DOI":"10.1214\/10-AAP705"},{"key":"S0021900200011384_ref14","doi-asserted-by":"publisher","DOI":"10.2307\/3213458"},{"key":"S0021900200011384_ref8","doi-asserted-by":"publisher","DOI":"10.1007\/978-4-431-53979-7_1"},{"key":"S0021900200011384_ref13","doi-asserted-by":"publisher","DOI":"10.1007\/BF02392620"},{"key":"S0021900200011384_ref7","volume-title":"Handbook of Brownian Motion \u2013 Facts and Formulae","year":"2002"},{"key":"S0021900200011384_ref12","doi-asserted-by":"publisher","DOI":"10.1214\/10-AAP720"},{"key":"S0021900200011384_ref6","volume-title":"Portfolio Insurance: A Guide to Dynamic Hedging","year":"1988"},{"key":"S0021900200011384_ref11","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4149(03)00076-0"},{"key":"S0021900200011384_ref5","volume-title":"Applications of variational inequalities in stochastic control","year":"1982"},{"key":"S0021900200011384_ref10","doi-asserted-by":"publisher","DOI":"10.1016\/S0165-1889(99)00095-0"},{"key":"S0021900200011384_ref4","doi-asserted-by":"crossref","first-page":"1971","DOI":"10.1214\/EJP.v15-835","volume":"15","year":"2010","journal-title":"Electron. J. Prob."},{"key":"S0021900200011384_ref27","doi-asserted-by":"publisher","DOI":"10.1086\/258967"},{"key":"S0021900200011384_ref26","doi-asserted-by":"publisher","DOI":"10.2307\/2549561"},{"key":"S0021900200011384_ref25","doi-asserted-by":"publisher","DOI":"10.1002\/mana.19851240107"},{"key":"S0021900200011384_ref24","volume-title":"Advances in Probability Distributions with Given Marginals: beyond the copulas","year":"1991"},{"key":"S0021900200011384_ref23","volume-title":"Diffusions, Markov Processes and Martingales","volume":"2","year":"2000"},{"key":"S0021900200011384_ref22","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00296"},{"key":"S0021900200011384_ref21","doi-asserted-by":"publisher","DOI":"10.1239\/jap\/1285335403"},{"key":"S0021900200011384_ref2","doi-asserted-by":"publisher","DOI":"10.1007\/s001860100161"}],"container-title":["Journal of Applied Probability"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0021900200011384","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,4,26]],"date-time":"2023-04-26T09:08:22Z","timestamp":1682500102000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0021900200011384\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2014,6]]},"references-count":27,"journal-issue":{"issue":"02","published-print":{"date-parts":[[2014,6]]}},"alternative-id":["S0021900200011384"],"URL":"https:\/\/doi.org\/10.1017\/s0021900200011384","relation":{},"ISSN":["0021-9002","1475-6072"],"issn-type":[{"value":"0021-9002","type":"print"},{"value":"1475-6072","type":"electronic"}],"subject":[],"published":{"date-parts":[[2014,6]]}}}