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

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dc.creatorRüschendorf, Ludger
dc.creatorUrusov, Mikhail A.
dc.date2008-06-16
dc.date.accessioned2026-07-07T12:19:32Z
dc.date.available2026-07-07T12:19:32Z
dc.descriptionIn this paper, we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows the application of this PDE method in cases where the usual regularity assumptions on the coefficients and on the gain function are not satisfied. We apply this method to the optimal stopping of integral functionals with exponential discount of the form $E_x\int_0^τe^{-λs}f(X_s) ds$, $λ\ge0$ for one-dimensional diffusions $X$. We prove a general verification theorem which justifies the modified version of the free boundary problem. In the case of no drift and discount, the free boundary problem allows to give a complete and explicit discussion of the stopping problem.
dc.descriptionPublished in at http://dx.doi.org/10.1214/07-AAP474 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/0806.2561
dc.identifierhttp://arxiv.org/abs/0806.2561
dc.identifierAnnals of Applied Probability 2008, Vol. 18, No. 3, 847-878
dc.identifierdoi:10.1214/07-AAP474
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/212788
dc.subjectProbability
dc.subject60G40 (Primary) 60H10 (Secondary)
dc.titleOn a class of optimal stopping problems for diffusions with discontinuous coefficients
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