Title of article :
Optimal stopping with irregular reward functions
Author/Authors :
Lamberton، نويسنده , , Damien، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2009
Abstract :
We consider optimal stopping problems with finite horizon for one-dimensional diffusions. We assume that the reward function is bounded and Borel-measurable, and we prove that the value function is continuous and can be characterized as the unique solution of a variational inequality in the sense of distributions.
Keywords :
Optimal stopping , one-dimensional diffusions , Irregular reward functions
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications