Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Optimal variance stopping with linear diffusions   We study the optimal stopping problem of maximizing the variance of an
unkilled linear diffusion. Especially, we demonstrate how the problem can be
solved as a convex two-player zero-sum game, and reveal quite surprising
application of game theory by doing so. Our main result shows that an optimal
solution can, in general case, be found among stopping times that are mixtures
of two hitting times. This and other revealed phenomena together with suggested
solution methods could be helpful when facing more complex non-linear optimal
stopping problems. The results are illustrated by a few examples.

11
The categories of this paper are: hep-lat
1
The categories of this paper are: cs
19
The categories of this paper are: eess
31
The categories of this paper are: ao-sci
36
The categories of this paper are: cmp-lg
30
The categories of this paper are: q-alg
16
The categories of this paper are: stat
18
The categories of this paper are: econ
9
The categories of this paper are: nlin
20
The categories of this paper are: acc-phys
33
The categories of this paper are: plasm-ph
24
The categories of this paper are: dg-ga
32
The categories of this paper are: atom-ph
14
The categories of this paper are: math-ph
15
The categories of this paper are: nucl-ex
0
The categories of this paper are: hep-ph