Optimal stopping of one-dimensional diffusions with integral criteria

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:481

Article

Guerra, Manuel¹  Nunes, Claudia^2,3  Oliveira, Carlos^1,3 

[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

关键词: Optimal stopping;    One-dimensional diffusion;    Integral functional;    Caratheodory solutions;   

DOI  :  10.1016/j.jmaa.2019.123473

来源: Elsevier

【 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.

【 授权许可】

Free