On the optimal stopping of a one-dimensional diffusion

DOI10.1214/EJP.v18-2182zbMath1296.60101arXiv1207.5491MaRDI QIDQ388889

Mihail Zervos, Damien Lamberton

Publication date: 17 January 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.5491

zbMATH Keywords

potential; optimal stopping; additive functional; one-dimensional diffusion; variation inequality

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

60G40: Stopping times; optimal stopping problems; gambling theory

60J60: Diffusion processes

60J55: Local time and additive functionals

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