On a class of optimal stopping problems for diffusions with discontinuous coefficients

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

zbMATH Keywords

free boundary problemoptimal stoppinglocal timesItô-Tanaka formulaEngelbert-Schmidt conditionoccupation times formulaone-dimensional SDE

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites Work

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• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part III)
• Optimal Stopping of One-Dimensional Diffusions
• 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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