Related papers: Exact optimal stopping for multidimensional linear…
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…
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…
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 study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit stochastic coefficients, possibly depending on an…
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…
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…
We describe a variational approach to solving optimal stopping problems for diffusion processes, as an alternative to the traditional approach based on the solution of the free-boundary problem. We study smooth pasting conditions from a…
We develop a new class of path transformations for one-dimensional diffusions that are tailored to alter their long-run behaviour from transient to recurrent or vice versa. This immediately leads to a formula for the distribution of the…
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…
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…
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 provide sufficient conditions for the continuity of the free-boundary in a general class of finite-horizon optimal stopping problems arising for instance in finance and economics. The underlying process is a strong solution of one…
In this paper, we consider multistopping problems for finite discrete time sequences $X_1,...,X_n$. $m$-stops are allowed and the aim is to maximize the expected value of the best of these $m$ stops. The random variables are neither assumed…
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…
We consider the problem of finite-horizon optimal control of a discrete linear time-varying system subject to a stochastic disturbance and fully observable state. The initial state of the system is drawn from a known Gaussian distribution,…
We solve non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision maker is risk aware and the filtration is general, and establish existence and uniqueness of solutions for the associated reflected…
The maximality principle has been a valuable tool in identifying the free-boundary functions that are associated with the solutions to several optimal stopping problems involving one-dimensional time-homogeneous diffusions and their running…
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…
We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discounting. We show that the optimal value is semi-continuous with…
In this paper, we investigate infinite horizon jump-diffusion forward-backward stochastic differential equations under some monotonicity conditions. We establish an existence and uniqueness theorem, two stability results and a comparison…