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 Cet article a éte moissonné depuis la source Math-Net.Ru

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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 
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     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},
     year = {2000},
     volume = {45},
     number = {4},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TVP_2000_45_4_a2/}
}
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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/