Optimal stopping for absolute maximum of homogeneous diffusion

被引：0
|
作者：
Kamenov A.A. [1 ]
机构：
[1] Moscow State University, Leninskie Gory, Moscow
来源：
Moscow University Mathematics Bulletin | 2015年 / 70卷 / 5期
关键词：
Differential Equation; Time Horizon; Finite Time; Absolute Maximum; Homogeneous Diffusion;
D O I：
10.3103/S0027132215050022
中图分类号：
学科分类号：
摘要：
The optimal stopping problem is studied in the paper for functions dependent on the absolute maximum of some homogeneous diffusion. The cases of infinite and finite time horizons are considered. A differential equation for the optimal stopping boundary is obtained in both the cases. A principle of maximum is proved for a function satisfying a single-crossing condition. © 2015, Allerton Press, Inc.
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页码：202 / 207
页数：5
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