Skip to Main content Skip to Navigation
Journal articles

Optimal stopping with irregular reward functions

Damien Lamberton 1, 2 
2 MATHRISK - Mathematical Risk handling
Inria Paris-Rocquencourt, UPEM - Université Paris-Est Marne-la-Vallée, ENPC - École des Ponts ParisTech
Abstract : We consider optimal stopping problems with finite horizon for one dimensional diffusions. We assume that the reward function is bounded and Borel-measurable, and we prove that the value function is continuous and can be characterized as the unique solution of a variational inequality in the sense of distributions.
Document type :
Journal articles
Complete list of metadata

Cited literature [10 references]  Display  Hide  Download
Contributor : Damien Lamberton Connect in order to contact the contributor
Submitted on : Monday, March 4, 2013 - 5:25:05 PM
Last modification on : Thursday, September 29, 2022 - 2:21:15 PM
Long-term archiving on: : Wednesday, June 5, 2013 - 3:57:32 AM


Publisher files allowed on an open archive


  • HAL Id : hal-00796701, version 1


Damien Lamberton. Optimal stopping with irregular reward functions. Stochastic Processes and their Applications, Elsevier, 2009, 119 (10), pp.3253-3284. ⟨hal-00796701⟩



Record views


Files downloads