Related papers: Variational View to Optimal Stopping Problems for …
We study a problem when a solution to optimal stopping problem for one-dimensional diffusion will generate by threshold strategy. Namely, we give necessary and sufficient conditions under which an optimal stopping time can be specified as…
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o diffusions, payoff functions that need not be smooth and state-dependent discounting.…
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 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…
In this paper, we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows the application of this PDE method in cases where the usual regularity…
In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping problems beyond this paradigm. We study problems in which…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
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…
Existing deterministic variational inference approaches for diffusion processes use simple proposals and target the marginal density of the posterior. We construct the variational process as a controlled version of the prior process and…
Consider a set of discounted optimal stopping problems for a one-parameter family of objective functions and a fixed diffusion process, started at a fixed point. A standard problem in stochastic control/optimal stopping is to solve for the…
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…
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 consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of an ordinary nonlinear programming problem. We establish a…
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…
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…
The paper considers an investment timing problem appearing in real options theory. Present values from an investment project are modeled by general diffusion process. We prove necessary and sufficient conditions under which an optimal…
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…
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…
We provide, in a general setting, explicit solutions for optimal stopping problems that involve diffusion process and its running maximum. Our approach is to use the excursion theory for Levy processes. Since general diffusions are, in…
Let $X$ be a one-dimensional diffusion and let $g\colon[0,T]\times\mathbb{R}\to\mathbb{R}$ be a payoff function depending on time and the value of $X$. The paper analyzes the inverse optimal stopping problem of finding a time-dependent…