OPTIMALITY OF THRESHOLD STOPPING TIMES FOR DIFFUSION PROCESSES

被引：0
|
作者：
Arkin, V., I [1 ]
机构：
[1] Russian Acad Sci, Cent Econ & Math Inst, Moscow, Russia
来源：
THEORY OF PROBABILITY AND ITS APPLICATIONS | 2020年 / 65卷 / 03期
关键词：
diffusion processes; optimal stopping; threshold stopping time; free-boundary problem; STRATEGIES;
D O I：
10.1137/S0040585X97T989994
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This paper is concerned with the optimal stopping problem for Ito diffusion processes over a class of stopping times. Necessary and sufficient optimality conditions are studied for a parametrically specified class of stopping times. A detailed analysis is given for the case of one-dimensional diffusion processes and threshold stopping times. Necessary and sufficient conditions are put forward for optimality of a threshold stopping time over all stopping times. A number of relations are obtained between the solution of the optimal stopping problem over the class of threshold moments and the solution of the free-boundary problem.
引用
收藏
页码：341 / 358
页数：18
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