On a class of optimal stopping problems for diffusions with discontinuous coefficients
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Publication:930669
DOI10.1214/07-AAP474zbMath1153.60021arXiv0806.2561MaRDI QIDQ930669
Mikhail A. Urusov, Ludger Rüschendorf
Publication date: 1 July 2008
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0806.2561
free boundary problemoptimal stoppinglocal timesItô-Tanaka formulaEngelbert-Schmidt conditionoccupation times formulaone-dimensional SDE
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)
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- Problemes de temps d’arret optimal et inequations variationnelles paraboliques
- Optimal Stopping of Regular Diffusions under Random Discounting
- Viscosity solutions of optimal stopping problems
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