Optimal Stopping and Maximal Inequalities for Linear Diffusions

S. E. Graversen and G. Peškir
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S. E. Graversen: University of Aarhus, Ny Munkegade
G. Peškir: University of Aarhus, Ny Munkegade

Journal of Theoretical Probability, 1998, vol. 11, issue 1, 259-277

Abstract: Abstract Given a linear diffusion the solution is found to the optimal stopping problem where the gain is given by the maximum of the process and the cost is proportional to the duration of time. The optimal stopping boundary is shown to be the maximal solution of a nonlinear differential equation expressed in terms of the scale function and the speed measure. Applications to maximal inequalities are indicated.

Keywords: Optimal stopping; linear diffusion; speed measure (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (6)

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DOI: 10.1023/A:1021659328029

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