Article ID Journal Published Year Pages File Type
1156096 Stochastic Processes and their Applications 2009 32 Pages PDF
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.

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Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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