On a class of optimal stopping problems for diffusions with discontinuous coefficients
نویسندگان
چکیده
منابع مشابه
On a class of optimal stopping problems for diffusions with discontinuous coefficients
In this paper we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows to apply this PDE method also in cases where the usual regularity assumptions on the coefficients and on the gain function are not satisfied. We apply this method to the optimal stopping of integral functionals with exponential discount of...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2008
ISSN: 1050-5164
DOI: 10.1214/07-aap474