Optimal stopping of one-dimensional diffusions with integral criteria

2017/03/17 by Manuel Guerra, Guerra, Manuel, Cláudia Nunes +3
Mathematics · #60G40 #60H10 #93E20 #FOS: Mathematics #Probability (math.PR) #math.PR #msc:60G40 #msc:60H10 #msc:93E20

paper · pdf · doi:10.48550/arxiv.1703.06178

arxiv created 2017/03/17 · arxiv updated 2017/03/21

Abstract

This paper provides a full characterization of the value function and solution(s) of an optimal stopping problem for a one-dimensional diffusion with an integral criterion. The results hold under very weak assumptions, namely, the diffusion is assumed to be a weak solution of stochastic differential equation satisfying the Engelbert-Schmidt conditions, while the (stochastic) discount rate and the integrand are required to satisfy only general integrability conditions.

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