On the optimal stopping of a one-dimensional diffusion (Q388889): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
Property / review text | |||
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. | |||
Property / review text: 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. / rank | |||
Normal rank | |||
Property / reviewed by | |||
Property / reviewed by: Wan-yang Dai / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G40 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60J55 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60J60 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 49L20 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6247203 / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
optimal stopping | |||
Property / zbMATH Keywords: optimal stopping / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
one-dimensional diffusion | |||
Property / zbMATH Keywords: one-dimensional diffusion / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
additive functional | |||
Property / zbMATH Keywords: additive functional / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
potential | |||
Property / zbMATH Keywords: potential / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
variation inequality | |||
Property / zbMATH Keywords: variation inequality / rank | |||
Normal rank |
Revision as of 14:34, 29 June 2023
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | On the optimal stopping of a one-dimensional diffusion |
scientific article |
Statements
On the optimal stopping of a one-dimensional diffusion (English)
0 references
17 January 2014
0 references
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.
0 references
optimal stopping
0 references
one-dimensional diffusion
0 references
additive functional
0 references
potential
0 references
variation inequality
0 references