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On the threshold strategies in optimal stopping problems for diffusion processes

Part of:Markov processesStochastic processes

Published online by Cambridge University Press:  15 September 2017

Vadim Arkin and
Alexander Slastnikov
Vadim Arkin*
Affiliation:
Central Economics and Mathematics Institute
Alexander Slastnikov*
Affiliation:
Central Economics and Mathematics Institute
*
* Postal address: Central Economics and Mathematics Institute, Nakhimovskii pr., 47, Moscow, 117418, Russia.
* Postal address: Central Economics and Mathematics Institute, Nakhimovskii pr., 47, Moscow, 117418, Russia.
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Abstract

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We study a problem when the optimal stopping for a one-dimensional diffusion process is generated by a threshold strategy. Namely, we give necessary and sufficient conditions (on the diffusion process and the payoff function) under which a stopping set has a threshold structure.

Keywords

Diffusion processoptimal stoppingstopping setthreshold structure

MSC classification

Primary:60G40: Stopping times; optimal stopping problems; gambling theory
Secondary:60J60: Diffusion processes

Information

Type
Short Communications
Information
Journal of Applied Probability , Volume 54 , Issue 3 , September 2017, pp. 963 - 969
Copyright
Copyright © Applied Probability Trust 2017 

References

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