On the existence of solutions of unbounded optimal stopping problems

被引：2

作者：

Zhitlukhin, M. V. ^{[1
,2
]}

Shiryaev, A. N. ^{[1
,3
]}

机构：

[1] Russian Acad Sci, VA Steklov Math Inst, Moscow 119991, Russia

[2] Natl Res Univ Higher Sch Econ, Int Lab Quantitat Finance, Moscow 115162, Russia

[3] Moscow MV Lomonosov State Univ, Fac Mech & Math, Moscow 119991, Russia

来源：

PROCEEDINGS OF THE STEKLOV INSTITUTE OF MATHEMATICS | 2014年 / 287卷 / 01期

基金：

俄罗斯基础研究基金会; 俄罗斯科学基金会;

关键词：

Brownian Motion; Function Versus; STEKLOV Institute; Lower Semicontinuous; Standard Brownian Motion;

D O I：

10.1134/S0081543814080185

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Known conditions of existence of solutions of optimal stopping problems for Markov processes assume that payoff functions are bounded in some sense. In this paper we prove weaker conditions which are applicable to unbounded payoff functions. The results obtained are applied to the optimal stopping problem for a Brownian motion with the payoff function G(tau,G (tau))=|G (tau)|-c/(1-tau).

引用

页码：299 / 307

页数：9

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