Work

Threshold Strategies in Optimal Stopping Problem for Diffusion Processes and Free-Boundary Problem

Year: 2013

Type: preprint

Abstract: We study a problem when a solution to optimal stopping problem for one-dimensional diffusion will generate by threshold strategy. Namely, we give necessary and sufficient conditions under which an optimal stopping time can be specified as the first time when the process exceeds some level (threshold), and a continuation set is a semi-interval. We give also second-order conditions, which allow to discard such solutions to free-boundary problem that are not the solutions to optimal stopping problem.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1306.1080

Authors: Arkin, V. I., Slastnikov, A. D.

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1681301939

Cites:

Cited by:

Related to: 10