Skip to Main content Skip to Navigation
Journal articles

On the Optimal Stopping of a One-dimensional Diffusion

Damien Lamberton 1, 2 Mihail Zervos 3 
2 MATHRISK - Mathematical Risk handling
Inria Paris-Rocquencourt, UPEM - Université Paris-Est Marne-la-Vallée, ENPC - École des Ponts ParisTech
Abstract : We consider a one-dimensional diffusion which solves a stochastic differential equation with Borel-measurable coefficients in an open interval. We allow for the endpoints to be inaccessible or absorbing. Given a Borel-measurable function $r$ that is uniformly bounded away from 0, we establish a new analytic representation of the $r$-potential of a continuous additive functional of the diffusion. We also characterize the value function of an optimal stopping problem with general reward function as the unique solution of a variational inequality (in the sense of distributions) with appropriate growth or boundary conditions. Furthermore, we establish several other characterisations of the solution to the optimal stopping problem, including a generalisation of the so-called "principle of smooth fit".
Document type :
Journal articles
Complete list of metadata

Cited literature [23 references]  Display  Hide  Download
Contributor : Damien Lamberton Connect in order to contact the contributor
Submitted on : Monday, July 23, 2012 - 5:45:59 PM
Last modification on : Thursday, September 29, 2022 - 2:21:15 PM
Long-term archiving on: : Wednesday, October 24, 2012 - 2:50:52 AM


Files produced by the author(s)



Damien Lamberton, Mihail Zervos. On the Optimal Stopping of a One-dimensional Diffusion. Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), 2013, 18 (34), pp.1-49. ⟨10.1214/EJP.v18-2182⟩. ⟨hal-00720149⟩



Record views


Files downloads