Optimal stopping of one-dimensional diffusions with integral criteria
| Autor: | Guerra, Manuel, Nunes, Cl��udia, Oliveira, Carlos |
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| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: | |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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