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Optimal stopping for a diffusion with jumps

โœ Scribed by Ernesto Mordecki


Publisher
Springer-Verlag
Year
1999
Tongue
English
Weight
69 KB
Volume
3
Category
Article
ISSN
0949-2984

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A note on optimal stopping of diffusions
โœ Jukka Lempa ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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