منابع مشابه
On the Optimal Stopping Problem for One–dimensional Diffusions
A new characterization of excessive functions for arbitrary one–dimensional regular diffusion processes is provided, using the notion of concavity. It is shown that excessivity is equivalent to concavity in some suitable generalized sense. This permits a characterization of the value function of the optimal stopping problem as “the smallest nonnegative concave majorant of the reward function” a...
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We consider a class of optimal stopping problems for a regular one-dimensional diffusion whose payoff depends on a linear parameter. As shown in [Bank and Föllmer(2003)] problems of this type may allow for a universal stopping signal that characterizes optimal stopping times for any given parameter via a level-crossing principle of some auxiliary process. For regular one-dimensional diffusions,...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2019
ISSN: 1050-5164
DOI: 10.1214/18-aap1431