A note on optimal stopping of diffusions with a two-sided optimal rule

✍ Scribed by Jukka Lempa

• Publisher: Elsevier Science
• Year: 2010
• Tongue: English
• Weight: 581 KB
• Volume: 38
• Category: Article
• ISSN: 0167-6377
• DOI: 10.1016/j.orl.2009.10.002

✦ Synopsis

We consider a class of optimal stopping problems of diffusions with a two-sided optimal rule. We propose an approach for finding and characterizing the solution. We establish that the optimal stopping rule can be associated with the unique fixed point of an auxiliary function. The results are illustrated with an explicit example.