Title of article :
Optimal stopping with irregular reward functions
Author/Authors :
Lamberton، نويسنده , , Damien، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2009
Pages :
32
From page :
3253
To page :
3284
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
Serial Year :
2009
Journal title :
Stochastic Processes and their Applications
Record number :
1578189
Link To Document :
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