On the optimal stopping of a one-dimensional diffusion (Q388889)

From MaRDI portal
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
    0 references
    0 references
    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
    0 references
    0 references
    0 references
    0 references
    0 references
    optimal stopping
    0 references
    one-dimensional diffusion
    0 references
    additive functional
    0 references
    potential
    0 references
    variation inequality
    0 references
    0 references
    0 references