Threshold Strategies in Optimal Stopping Problem for Diffusion Processes and Free-Boundary Problem
Probability
2013-06-20 v2
Abstract
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 the first time when the process exceeds some level (threshold), and a continuation set is a semi-interval. We give also second-order conditions, which allow to discard such solutions to free-boundary problem that are not the solutions to optimal stopping problem.
Cite
@article{arxiv.1306.1080,
title = {Threshold Strategies in Optimal Stopping Problem for Diffusion Processes and Free-Boundary Problem},
author = {V. I. Arkin and A. D. Slastnikov},
journal= {arXiv preprint arXiv:1306.1080},
year = {2013}
}
Comments
14 pages