OPTIMALITY OF THRESHOLD STOPPING TIMES FOR DIFFUSION PROCESSES

被引：0

作者：

Arkin, V., I ^{[1
]}

机构：

[1] Russian Acad Sci, Cent Econ & Math Inst, Moscow, Russia

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 2020年 / 65卷 / 03期

关键词：

diffusion processes; optimal stopping; threshold stopping time; free-boundary problem; STRATEGIES;

D O I：

10.1137/S0040585X97T989994

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper is concerned with the optimal stopping problem for Ito diffusion processes over a class of stopping times. Necessary and sufficient optimality conditions are studied for a parametrically specified class of stopping times. A detailed analysis is given for the case of one-dimensional diffusion processes and threshold stopping times. Necessary and sufficient conditions are put forward for optimality of a threshold stopping time over all stopping times. A number of relations are obtained between the solution of the optimal stopping problem over the class of threshold moments and the solution of the free-boundary problem.

引用

页码：341 / 358

页数：18

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