Optimal stopping with irregular reward functions

DOI10.1016/J.SPA.2009.05.005zbMATH Open1181.60063OpenAlexW2038816516MaRDI QIDQ734634FDOQ734634

Authors: 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

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zbMATH Keywords

optimal stoppingone-dimensional diffusionsirregular reward functions

Mathematics Subject Classification ID

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

Cites Work

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• Optimal stopping problems with discontinous reward: Regularity of the value function and viscosity solutions
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Cited In (34)

• Perpetual American options with asset-dependent discounting
• Optimal stopping of one-dimensional diffusions with integral criteria
• Optimal stopping problems with discontinous reward: Regularity of the value function and viscosity solutions
• The shape of the value function under Poisson optimal stopping
• On optimal stopping problems for matrix-exponential jump-diffusion processes
• Optimal Stopping of Regular Diffusions under Random Discounting
• On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions
• Solving optimal stopping problems of linear diffusions by applying convolution approximations
• Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
• Finite-horizon optimal stopping, obstacle problems and the shape of the continuation region
• Optimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequality
• An algorithm to solve optimal stopping problems for one-dimensional diffusions
• Title not available (Why is that?)
• Stopping of functionals with discontinuity at the boundary of an open set
• Are American options European after all?
• Discretionary stopping of one-dimensional Itô diffusions with a staircase reward function
• Option convergence rate with geometric random walks approximations
• On incentive compatibility in dynamic mechanism design with exit option in a Markovian environment
• Infinite horizon stopping problems with (nearly) total reward criteria
• Reward functionals, salvage values, and optimal stopping
• Optimal stopping of integral functionals and a ``no-loss free boundary formulation
• Parameter-dependent optimal stopping problems for one-dimensional diffusions
• Discretionary stopping of stochastic differential equations with generalised drift
• Optimal stopping and impulsive control of one-dimensional diffusion processes
• The optimal stopping problem revisited
• Optimal stopping problem in a model with compensated refusal of reward
• Variability is beneficial in marked stopping problems
• Sharp inequalities for optimal stopping with rewards based on ranks
• One-sided solutions for optimal stopping problems with logconcave reward functions
• Behaviorally consistent optimal stopping rules
• Title not available (Why is that?)
• Regularity of the optimal stopping problem for jump diffusions
• Convex order for path-dependent derivatives: a dynamic programming approach
• The high contact principle with reward functions involving initial points

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