Optimal stopping with irregular reward functions

DOI10.1016/j.spa.2009.05.005zbMath1181.60063MaRDI 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 stopping; one-dimensional diffusions; irregular reward functions

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

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

60J60: Diffusion processes

Related Items

Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach, Stopping of functionals with discontinuity at the boundary of an open set, Discretionary stopping of stochastic differential equations with generalised drift, Optimal stopping of one-dimensional diffusions with integral criteria, Option convergence rate with geometric random walks approximations

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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