A Note on Optimal Stopping of Regular Diffusions under ... - CiteSeerX
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A Note on Optimal Stopping of Regular Diffusions under ... - CiteSeerX
A closed endpoint z of I is called a reflecting boundary ... Also Ïâ(b) > 0 if b is a reflecting .... Let B denote standard Brownian motion throughout this section.
A Note on Optimal Stopping of Regular Diffusions under Random Discounting
M. Beibel and H. R. Lerche University of Freiburg, Germany
Summary. 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 E{e−AT h(XT )1{T 0. Then we obtain for all stopping times T of B that
