Optimal stopping with irregular reward functions

Damien Lamberton

Stochastic Processes and their Applications, 2009, vol. 119, issue 10, 3253-3284

Abstract: We consider optimal stopping problems with finite horizon for one-dimensional diffusions. We assume that the reward function is bounded and Borel-measurable, and we prove that the value function is continuous and can be characterized as the unique solution of a variational inequality in the sense of distributions.

Keywords: Optimal; stopping; One-dimensional; diffusions; Irregular; reward; functions (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (3)

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