Related papers: Optimal Stopping of Branching Diffusion Processes
We consider the problem of optimal stopping for a one-dimensional diffusion process. Two classes of admissible stopping times are considered. The first class consists of all nonanticipating stopping times that take values in [0,\infty],…
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 analyze an optimal stopping problem with a constraint on the expected cost. When the reward function and cost function are Lipschitz continuous in state variable, we show that the value of such an optimal stopping problem is a continuous…
In a classical problem for the stopping of a diffusion process $(X_t)_{t \geq 0}$, where the goal is to maximise the expected discounted value of a function of the stopped process ${\mathbb E}^x[e^{-\beta \tau}g(X_\tau)]$, maximisation…
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 employ the viscosity solution technique to analyze optimal stopping problems with regime switching. Specifically, we obtain the viscosity property of value functions, the uniqueness of viscosity solutions, the regularity of value…
We consider stochastic impulse control problems where the process is driven by a general one-dimensional diffusion. We shall show a new mathematical characterization of the value function as a linear function in a certain transformed space.…
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 present a novel method for solving a class of time-inconsistent optimal stopping problems by reducing them to a family of standard stochastic optimal control problems. In particular, we convert an optimal stopping problem with a…
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…
This paper studies the problem of optimal switching for one-dimensional diffusion, which may be regarded as sequential optimal stopping problem with changes of regimes. The resulting dynamic programming principle leads to a system of…
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.…
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 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 paper we study optimal stopping problems for nonlinear Markov processes driven by a McKean-Vlasov SDE and aim at solving them numerically by Monte Carlo. To this end we propose a novel regression algorithm based on the corresponding…
We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…
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 propose a direct solution method for optimal switching problems of one-dimensional diffusions. This method is free from conjectures about the form of the value function and switching strategies, or does not require the…
We consider the representation of the value of a class of optimal stopping problems of linear diffusions in a linearized form as an expected supremum of a known function. We establish an explicit integral representation of this representing…
For a type of employee stock option (ESO) and an American put option with a barrier, we obtain closed-form formulae for the value functions and provide a complete characterization for optimal stopping/continuation regions. Some comparison…