Geodesic
A~note on optimal stopping of regular diffusions under random discounting
Teoriâ veroâtnostej i ee primeneniâ, Tome 45 (2000) no. 4, pp. 657-669

Voir la notice de l'article provenant de la source Math-Net.Ru

Let X be a one-dimensional regular diffusion, $A$ a positive continuous additive functional of $X$, and h a measurable real-valued function. A method is proposed to determine a stopping rule $T^*$ that maximizes $\mathbf{E}\{e^{-A_T} h(X_T) 1_{\{T \infty\}}\}$ over all stopping times $T$ of $X$. Several examples are discussed.
Keywords: generalized parking problems, optimal stopping, random regret.
Mots-clés : diffusions 
@article{TVP_2000_45_4_a2,
     author = {M. Beibel and H. R. Lerche},
     title = {A~note on optimal stopping of regular diffusions under random discounting},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {657--669},
     publisher = {mathdoc},
     volume = {45},
     number = {4},
     year = {2000},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TVP_2000_45_4_a2/}
}
TY  - JOUR
AU  - M. Beibel
AU  - H. R. Lerche
TI  - A~note on optimal stopping of regular diffusions under random discounting
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 2000
SP  - 657
EP  - 669
VL  - 45
IS  - 4
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/TVP_2000_45_4_a2/
LA  - en
ID  - TVP_2000_45_4_a2
ER  - 
%0 Journal Article
%A M. Beibel
%A H. R. Lerche
%T A~note on optimal stopping of regular diffusions under random discounting
%J Teoriâ veroâtnostej i ee primeneniâ
%D 2000
%P 657-669
%V 45
%N 4
%I mathdoc
%U http://geodesic.mathdoc.fr/item/TVP_2000_45_4_a2/
%G en
%F TVP_2000_45_4_a2
M. Beibel; H. R. Lerche. A~note on optimal stopping of regular diffusions under random discounting. Teoriâ veroâtnostej i ee primeneniâ, Tome 45 (2000) no. 4, pp. 657-669. http://geodesic.mathdoc.fr/item/TVP_2000_45_4_a2/