Article ID Journal Published Year Pages File Type
1143352 Operations Research Letters 2010 6 Pages PDF
Abstract

We consider a class of optimal stopping problems of diffusions with a two-sided optimal rule. We propose an approach for finding and characterizing the solution. We establish that the optimal stopping rule can be associated with the unique fixed point of an auxiliary function. The results are illustrated with an explicit example.

Related Topics
Physical Sciences and Engineering Mathematics Discrete Mathematics and Combinatorics
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