On the principle of smooth fit for killed diffusions

DOI10.1214/ECP.v15-1531zbMath1201.60038MaRDI QIDQ967705

Farman Samee

Publication date: 30 April 2010

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/224389

zbMATH Keywords

optimal stoppingprinciple of smooth fitscale functionconcave functiondiscounted optimal stoppingkilled diffusion processregular diffusion process

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (3)

On the Compensator in the Doob--Meyer Decomposition of the Snell Envelope ⋮ Optimal stopping of one-dimensional diffusions with integral criteria ⋮ Explicit solutions in one-sided optimal stopping problems for one-dimensional diffusions

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