Optimal stopping of one-dimensional diffusions with integral criteria

Manuel Guerra; Cláudia Nunes; Carlos Oliveira

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arXiv · 1703.06178

Optimal stopping of one-dimensional diffusions with integral criteria

Manuel Guerra·Cláudia Nunes·Carlos Oliveira

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Abstract

This paper provides a full characterization of the value function and solution(s) of an optimal stopping problem for a one-dimensional diffusion with an integral criterion. The results hold under very weak assumptions, namely, the diffusion is assumed to be a weak solution of stochastic differential equation satisfying the Engelbert-Schmidt conditions, while the (stochastic) discount rate and the integrand are required to satisfy only general integrability conditions.

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Manuel Guerra, Cláudia Nunes, Carlos Oliveira. 2017-03-17. Optimal stopping of one-dimensional diffusions with integral criteria. https://arxiv.org/abs/1703.06178

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