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Optimal Stopping of Regular Diffusions under Random Discounting

✍ Scribed by Beibel, M.; Lerche, H. R.


Book ID
111973584
Publisher
Society for Industrial and Applied Mathematics
Year
2001
Tongue
English
Weight
166 KB
Volume
45
Category
Article
ISSN
0040-585X

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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