Geodesic
Optimality of threshold stopping times for diffusion processes
Teoriâ veroâtnostej i ee primeneniâ, Tome 65 (2020) no. 3, pp. 437-459

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This paper is concerned with the optimal stopping problem for Itô diffusion processes over a class of stopping times. Necessary and sufficient optimality conditions are studied for a parametrically specified class of stopping times. A detailed analysis is given for the case of one-dimensional diffusion processes and threshold stopping times. Necessary and sufficient conditions are put forward for optimality of a threshold stopping time over all stopping times. A number of relations are obtained between the solution of the optimal stopping problem over the class of threshold moments and the solution of the free-boundary problem.
Mots-clés : diffusion processes
Keywords: optimal stopping, threshold stopping time, free-boundary problem. 
@article{TVP_2020_65_3_a0,
     author = {V. I. Arkin},
     title = {Optimality of threshold stopping times for diffusion processes},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {437--459},
     publisher = {mathdoc},
     volume = {65},
     number = {3},
     year = {2020},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2020_65_3_a0/}
}
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V. I. Arkin. Optimality of threshold stopping times for diffusion processes. Teoriâ veroâtnostej i ee primeneniâ, Tome 65 (2020) no. 3, pp. 437-459. http://geodesic.mathdoc.fr/item/TVP_2020_65_3_a0/