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Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika, 2015, Number 5, Pages 7–13
(Mi vmumm260)
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Mathematics
Optimal stopping for absolute maximum of homogeneous diffusion
A. A. Kamenov Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
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
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
Linking options:
https://www.mathnet.ru/eng/vmumm260 https://www.mathnet.ru/eng/vmumm/y2015/i5/p7
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Abstract page: | 88 | Full-text PDF : | 41 | References: | 23 |
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