Optimal stopping of one-dimensional diffusions with integral criteria

被引：1

作者：

Guerra, Manuel ^{[1
]}

Nunes, Claudia ^{[2
,3
]}

Oliveira, Carlos ^{[1
,3
]}

机构：

[1] Univ Lisbon, Inst Super Econ & Gestao, CEMAPRE, Rua Quelhas 6, Lisbon, Portugal

[2] Univ Lisbon, Inst Super Tecn, Dept Math, Ave Rovisco Pais, P-1049001 Lisbon, Portugal

[3] Univ Lisbon, Inst Super Tecn, CEMAT, Ave Rovisco Pais, P-1049001 Lisbon, Portugal

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2020年 / 481卷 / 02期

关键词：

Optimal stopping; One-dimensional diffusion; Integral functional; Caratheodory solutions; SMOOTH-FIT; PRINCIPLE;

D O I：

10.1016/j.jmaa.2019.123473

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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 is assumed to be a weak solution of stochastic differential equation satisfying the Engelbert-Schmidt conditions, while the (stochastic) discount rate and the integrand are required to satisfy only general integrability conditions. (C) 2019 Elsevier Inc. All rights reserved.

引用

页数：24

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