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A note on strochastic optimal control of reflected diffusions with jumps

✍ Scribed by Ding Deng


Publisher
Springer
Year
2000
Tongue
English
Weight
545 KB
Volume
21
Category
Article
ISSN
0253-4827

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A note on optimal stopping of diffusions
✍ Jukka Lempa πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 581 KB

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 illust