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A stopping rule based on Simpson's index of diversity

✍ Scribed by N.I. Lyons; K. Hutcheson


Publisher
Elsevier Science
Year
1979
Tongue
English
Weight
301 KB
Volume
77
Category
Article
ISSN
0022-5193

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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