Optimal Stopping Problems for Time-Homogeneous Diffusions: a Review
نویسنده
چکیده
The first part of this paper summarises the essential facts on general optimal stopping theory for time-homogeneous diffusion processes in R. The results displayed are stated in a little greater generality, but in such a way that they are neither too restrictive nor too complicated. The second part presents equations for the value function and the optimal stopping boundary as a free-boundary (Stefan) problem and further presents the principle of smooth fit. This part is illustrated by examples where the focus is on optimal stopping problems for the maximum process associated with a one-dimensional diffusion.
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تاریخ انتشار 2007