期刊
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES
卷 86, 期 3, 页码 491-509出版社
TAYLOR & FRANCIS LTD
DOI: 10.1080/17442508.2013.837467
关键词
optimal stopping; diffusion processes; explicit solutions
Consider the optimal stopping problem of a one-dimensional diffusion with positive discount. Based on Dynkin's characterization of the value as the minimal excessive majorant of the reward and considering its Riesz representation, we give an explicit equation to find the optimal stopping threshold for problems with one-sided stopping regions, and an explicit formula for the value function of the problem. This representation also gives light on the validity of the smooth-fit (SF) principle. The results are illustrated by solving some classical problems, and also through the solution of: optimal stopping of the skew Brownian motion and optimal stopping of the sticky Brownian motion, including cases in which the SF principle fails.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据