Teoriya Veroyatnostei i ee Primeneniya
 RUS  ENG JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB
 General information Latest issue Archive Impact factor Subscription Guidelines for authors Submit a manuscript Search papers Search references RSS Latest issue Current issues Archive issues What is RSS

 Teor. Veroyatnost. i Primenen.: Year: Volume: Issue: Page: Find

 Teor. Veroyatnost. i Primenen., 2020, Volume 65, Issue 3, Pages 437–459 (Mi tvp5205)

Optimality of threshold stopping times for diffusion processes

V. I. Arkin

Central Economics and Mathematics Institute Russian Academy of Sciences, Moscow

Abstract: 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.

Keywords: diffusion processes, optimal stopping, threshold stopping time, free-boundary problem.

DOI: https://doi.org/10.4213/tvp5205

Full text: PDF file (471 kB)
First page: PDF file
References: PDF file   HTML file

English version:
Theory of Probability and its Applications, 2020, 65:3, 341–358

Bibliographic databases:

Revised: 28.06.2019
Accepted:11.07.2019

Citation: V. I. Arkin, “Optimality of threshold stopping times for diffusion processes”, Teor. Veroyatnost. i Primenen., 65:3 (2020), 437–459; Theory Probab. Appl., 65:3 (2020), 341–358

Citation in format AMSBIB
\Bibitem{Ark20} \by V.~I.~Arkin \paper Optimality of threshold stopping times for diffusion processes \jour Teor. Veroyatnost. i Primenen. \yr 2020 \vol 65 \issue 3 \pages 437--459 \mathnet{http://mi.mathnet.ru/tvp5205} \crossref{https://doi.org/10.4213/tvp5205} \elib{https://elibrary.ru/item.asp?id=45147374} \transl \jour Theory Probab. Appl. \yr 2020 \vol 65 \issue 3 \pages 341--358 \crossref{https://doi.org/10.1137/S0040585X97T989994} \isi{http://gateway.isiknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&DestLinkType=FullRecord&DestApp=ALL_WOS&KeyUT=000587381700001} \scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85096076796}