Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika
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Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika, 2015, Number 5, Pages 7–13 (Mi vmumm260)  
Mathematics

Optimal stopping for absolute maximum of homogeneous diffusion

A. A. Kamenov

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
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Abstract: The article deals with the optimal stopping problem in case when the reward function depends on the absolute maximum of some homogeneous diffusion. We consider cases of infinite and finite time horizon. In both cases the differential equation for the optimal stopping boundary is obtained. Also, we prove that the maximality principle holds for reward functions which satisfy single-crossing condition.
Key words: homogeneous diffusions, optimal stopping, maximum process, envelope theorem.
Received: 02.06.2014
English version:
Moscow University Mathematics Bulletin, 2015, Volume 70, Issue 5, Pages 202–207
DOI: https://doi.org/10.3103/S0027132215050022
Bibliographic databases:
Document Type: Article
UDC: 519.244.5(043)
Language: Russian
Citation: A. A. Kamenov, “Optimal stopping for absolute maximum of homogeneous diffusion”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2015, no. 5, 7–13; Moscow University Mathematics Bulletin, 70:5 (2015), 202–207
Citation in format AMSBIB
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\pages 202--207
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