Differentiability of excessive functions of one-dimensional diffusions and the principle of smooth fit

DOI10.4064/bc104-0-10zbMath1314.60144arXiv1310.1901OpenAlexW2964250226MaRDI QIDQ5245480

Bao Quoc Ta, Paavo H. Salminen

Publication date: 8 April 2015

Published in: Banach Center Publications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.1901

zbMATH Keywords

principle of smooth fitone-dimensional diffusionsoptimal stopping problemsexcessive functionssticky Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Harmonic, subharmonic, superharmonic functions on other spaces (31C05) Optimal stopping in statistics (62L15)

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