Optimal stopping with irregular reward functions

DOI10.1016/j.spa.2009.05.005zbMath1181.60063OpenAlexW2038816516MaRDI QIDQ734634

Damien Lamberton

Publication date: 13 October 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://hal-upec-upem.archives-ouvertes.fr/hal-00796701/file/AuthorCopy.pdf

zbMATH Keywords

optimal stoppingone-dimensional diffusionsirregular reward functions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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Cites Work

• On the optimal stopping of a one-dimensional diffusion
• Dirichlet forms and symmetric Markov processes
• The solution to a second order linear ordinary differential equation with a non-homogeneous term that is a measure
• Optimal stopping problems with discontinous reward: Regularity of the value function and viscosity solutions
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