On the optimal stopping of a one-dimensional diffusion (Q388889): Difference between revisions

The authors study a one-dimensional diffusion based optimal stopping problem. On the one hand, the authors aim to derive a simple necessary and sufficient condition such that the value function is the difference of two convex functions and satisfies a variational inequality. On the other hand, the authors derive a simple necessary and sufficient condition for a solution to this variational inequality to identify with the value function. Some related characterizations such as ``principle of smooth fit'' of the solution to the optimal problem are also established.