Geodesic
Optimality of threshold stopping times for diffusion processes
Teoriâ veroâtnostej i ee primeneniâ, Tome 65 (2020) no. 3, pp. 437-459 Cet article a éte moissonné depuis la source Math-Net.Ru

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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. 
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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/

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