On a class of optimal stopping problems for diffusions with discontinuous coefficients
成果类型：
Article
署名作者：
Rueschendorf, Ludger; Urusov, Mikhail A.
署名单位：
University of Freiburg; Technical University of Berlin; Deutsche Bank
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/07-AAP474
发表日期：
2008
页码：
847-878
关键词：
摘要：
In this paper, we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows the application of this PDE method 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 the form E-x root(tau)(0)e-(lambda s) f (X-s) ds, lambda >= 0 for one-dimensional diffusions X. We prove a general verification theorem which justifies the modified version of the free boundary problem. In the case of no drift and discount, the free boundary problem allows to give a complete and explicit discussion of the stopping problem.
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