Related papers: Optimal Stopping for Strong Markov Processes: Expl…
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…
Considering a real-valued diffusion, a real-valued reward function and a positive discount rate, we provide an algorithm to solve the optimal stopping problem consisting in finding the optimal expected discounted reward and the optimal…
This paper develops an approach for solving perpetual discounted optimal stopping problems for multidimensional diffusions, with special emphasis on the $d$-dimensional Wiener process. We first obtain some verification theorems for…
Consider the discounted optimal stopping problem for a real valued Markov process with only positive jumps. We provide a theorem to verify that the optimal stopping region has the form {x >= x^*} for some critical threshold x^*, and a…
We study optimal stopping problems related to the pricing of perpetual American options in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values…
The value function of an optimal stopping problem for jump diffusions is known to be a generalized solution of a variational inequality. Assuming that the diffusion component of the process is nondegenerate and a mild assumption on the…
In this paper, we solve explicitly the optimal stopping problem with random discounting and an additive functional as cost of observations for a regular linear diffusion. We also extend the results to the class of one-sided regular Feller…
In this article, we study the classical finite-horizon optimal stopping problem for multidimensional diffusions through an approach that differs from what is typically found in the literature. More specifically, we first prove a key…
The principle of smooth fit is probably the most used tool to find solutions to optimal stopping problems of one-dimensional diffusions. It is important, e.g., in financial mathematical applications to understand in which kind of models and…
This article explores an optimal stopping problem for branching diffusion processes. It consists in looking for optimal stopping lines, a type of stopping time that maintains the branching structure of the processes under analysis. By using…
We study the problem of optimal stopping of conditional McKean-Vlasov (mean-field) stochastic differential equations with jumps (conditional McKean-Vlasov jump diffusions, for short). We obtain sufficient variational inequalities for a…
Our purpose is to study a particular class of optimal stopping problems for Markov processes. We justify the value function convexity and we deduce that there exists a boundary function such that the smallest optimal stopping time is the…
The paper studies a class of multidimensional optimal stopping problems with infinite horizon for linear switching diffusions. There are two main novelties in the optimal problems considered: the underlying stochastic process has…
We provide, in a general setting, explicit solutions for optimal stopping problems that involve a diffusion process and its running maximum. Besides, a new feature includes absorbing boundaries that vary with the value of the running…
We characterize the value function and the optimal stopping time for a large class of optimal stopping problems where the underlying process to be stopped is a fairly general Markov process. The main result is inspired by recent findings…
We use the geometry of suitably generalised potentials to solve risk-sensitive Markovian optimal stopping problems. As in the linear case due to Dynkin and Yushkievich (1967), the value function is the pointwise infimum of those functions…
We address the problem of making a managerial decision when the investment project is subsidized, which results in the resolution of an infinite-horizon optimal stopping problem of a switching diffusion driven by either an homogeneous or an…
We consider a one-dimensional diffusion which solves a stochastic differential equation with Borel-measurable coefficients in an open interval. We allow for the endpoints to be inaccessible or absorbing. Given a Borel-measurable function…
We study optimal multiple stopping of strong Markov processes with random refraction periods. The refraction periods are assumed to be exponentially distributed with a common rate and independent of the underlying dynamics. Our main tool is…
We propose an alternative approach for solving a number of well-studied optimal stopping problems for L\'evy processes. Instead of the usual method of guess-and-verify based on martingale properties of the value function, we suggest a more…