Optimal Stopping of One‐Dimensional Diffusions
Optimal Stopping of One‐Dimensional Diffusions
复制标题
一维扩散的最优停止
DOI：
10.1002/mana.19851240107
复制
发表时间：
1985
影响因子：
1
通讯作者：
P. Salminen
中科院分区：
文献类型：
--
作者：
P. Salminen
本文考虑了时间齐次一维正则扩散的最优停止问题。在我们的方法中的一个重要工具是马丁边界理论。可以显式地确定给定的β-过剩函数的表示测度。可以看出，这种对应关系可以用来构建最佳停止规则。在某些特定的情况下，如本文所示，解决方案是直接和轻松地达到。所谓的“光滑粘贴”条件被看作是我们的结果的一个简单的结果。
In this paper we consider an optimal stopping problem for a time-homogeneous, onedimensional, regular diffusion. An essential tool in our approach is the MARTIN boundary theory. It is possible to determine explicitly the representing measure of a given β-excessive function. It is seen that this correspondence may be used to construct optimal stopping rules. In some specific cases, as demonstrated in the paper, the solution is reached directly and with ease. The so called condition of “smooth pasting” is seen to be a simple consequence of our results.