Optimal stopping of one-dimensional diffusions with integral criteria
Probability
2017-03-21 v1
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.
Cite
@article{arxiv.1703.06178,
title = {Optimal stopping of one-dimensional diffusions with integral criteria},
author = {Manuel Guerra and Cláudia Nunes and Carlos Oliveira},
journal= {arXiv preprint arXiv:1703.06178},
year = {2017}
}