Optimal Stopping and Maximal Inequalities for Linear Diffusions

被引：0
|
作者：
S. E. Graversen
G. Peškir
机构：
[1] University of Aarhus,Institute of Mathematics
[2] Ny Munkegade,undefined
来源：
Journal of Theoretical Probability | 1998年 / 11卷
关键词：
Optimal stopping; linear diffusion; speed measure;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Given a linear diffusion the solution is found to the optimal stopping problem where the gain is given by the maximum of the process and the cost is proportional to the duration of time. The optimal stopping boundary is shown to be the maximal solution of a nonlinear differential equation expressed in terms of the scale function and the speed measure. Applications to maximal inequalities are indicated.
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页码：259 / 277
页数：18
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