Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156096 | Stochastic Processes and their Applications | 2009 | 32 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Damien Lamberton,