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
  • [41] OPTIMAL STOPPING FOR PROCESSES WITH INDEPENDENT INCREMENTS, AND APPLICATIONS
    Deligiannidis, G.
    Le, H.
    Utev, S.
    JOURNAL OF APPLIED PROBABILITY, 2009, 46 (04) : 1130 - 1145
  • [42] Optimal stopping and perpetual options for Levy processes
    Mordecki, E
    FINANCE AND STOCHASTICS, 2002, 6 (04) : 473 - 493
  • [43] n-Dimensional Laplace Transforms of Occupation Times for Pre-Exit Diffusion Processes
    Yingchun Deng
    Xuan Huang
    Ya Huang
    Xuyan Xiang
    Jieming Zhou
    Indian Journal of Pure and Applied Mathematics, 2020, 51 : 345 - 360
  • [44] Logconcave reward functions and optimal stopping rules of threshold form
    Hsiau, Shoou-Ren
    Lin, Yi-Shen
    Yao, Yi-Ching
    ELECTRONIC JOURNAL OF PROBABILITY, 2014, 19
  • [45] n-Dimensional Laplace Transforms of Occupation Times for Pre-Exit Diffusion Processes
    Deng, Yingchun
    Huang, Xuan
    Huang, Ya
    Xiang, Xuyan
    Zhou, Jieming
    INDIAN JOURNAL OF PURE & APPLIED MATHEMATICS, 2020, 51 (01) : 345 - 360
  • [46] Some results about stopping times of the marked tree space
    Ceci, C
    Gerardi, A
    Mazliak, L
    THEORY OF PROBABILITY AND ITS APPLICATIONS, 1997, 41 (03) : 425 - 435
  • [47] The last-success stopping problem with random observation times
    Gnedin, Alexander
    Derbazi, Zakaria
    MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2025, 101 (01) : 1 - 27
  • [48] OPTIMAL STOPPING UNDER MODEL UNCERTAINTY: RANDOMIZED STOPPING TIMES APPROACH (vol 26, pg 1260, 2016)
    Belomestny, Denis
    Kraetschmer, Volker
    ANNALS OF APPLIED PROBABILITY, 2017, 27 (02) : 1289 - 1293
  • [49] Optimal decision under ambiguity for diffusion processes
    Christensen, Soren
    MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2013, 77 (02) : 207 - 226
  • [50] OPTIMAL STOPPING FOR MARKOV PROCESSES AND DECREASING AFFINE FUNCTIONS
    Dorobantu, Diana
    REVUE ROUMAINE DE MATHEMATIQUES PURES ET APPLIQUEES, 2011, 56 (04): : 283 - 294
12345