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
相关论文
共 50 条
  • [31] Invariance formulas for stopping times of squared Bessel process
    Jakubowski, Jacek
    Wisniewolski, Maciej
    STOCHASTIC ANALYSIS AND APPLICATIONS, 2018, 36 (04) : 671 - 699
  • [32] Distributions of stopping times in some sequential estimation procedures
    Alicja Jokiel-Rokita
    Ryszard Magiera
    Metrika, 2014, 77 : 617 - 634
  • [33] Differential Games of Mixed Type with Control and Stopping Times
    Ghosh, Mrinal K.
    Rao, Mallikarjuna K. S.
    Sheetal, Dharmatti
    NODEA-NONLINEAR DIFFERENTIAL EQUATIONS AND APPLICATIONS, 2009, 16 (02): : 143 - 158
  • [34] Empirical Analysis of the Optimality of RSRE-based Stopping Rules for Monitored Reconstruction
    Bulatov, Konstantin
    Mukovozov, Arseniy
    Arlazarov, Vladimir V.
    THIRTEENTH INTERNATIONAL CONFERENCE ON MACHINE VISION (ICMV 2020), 2021, 11605
  • [35] Stochastic games of control and stopping for a linear diffusion
    Karatzas, Annis
    Sudderth, William
    RANDOM WALK, SEQUENTIAL ANALYSIS AND RELATED TOPICS: A FESTSCHRIFT IN HONOR OF YUAN-SHIH CHOW, 2006, : 100 - +
  • [36] On the optimal stopping of a one-dimensional diffusion
    Lamberton, Damien
    Zervos, Mihail
    ELECTRONIC JOURNAL OF PROBABILITY, 2013, 18 : 1 - 49
  • [37] Optimal stopping, free boundary, and American option in a jump-diffusion model
    Pham, H
    APPLIED MATHEMATICS AND OPTIMIZATION, 1997, 35 (02) : 145 - 164
  • [38] Optimal stopping, free boundary, and American option in a jump-diffusion model
    Pham H.
    Applied Mathematics and Optimization, 1997, 35 (2) : 145 - 164
  • [39] Optimal stopping of Markov switching Levy processes
    Pemy, Moustapha
    STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2014, 86 (02) : 341 - 369
  • [40] ON OPTIMAL STOPPING OF RISK PROCESSES WITH REGIME SWITCHING
    Ferenstein, Elzbieta
    Pasternak-Winiarski, Adam
    DEMONSTRATIO MATHEMATICA, 2012, 45 (02) : 435 - 454
12345