The Maximality Principle Revisited: On Certain Optimal Stopping Problems
The Maximality Principle Revisited: On Certain Optimal Stopping Problems
复制标题
重温极大性原理：关于某些最优停止问题
DOI：
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发表时间：
2004
期刊：
影响因子：
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通讯作者：
J. Obłój
中科院分区：
文献类型：
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作者：
J. Obłój
我们研究了涉及扩散的最优停止问题。起点是Peskir和Meilijson作品之间的联系，我们用统一的方式来描述。该描述主要遵循Peskir的工作，并依赖于极大性原理，该原理将某微分方程的特殊解与最优停止问题的解的存在性和形式联系起来。我们还讨论了所谓的最优Skorokhod嵌入问题，并为一大类测度提供了一个显式的解决方案。
We investigate the optimal stopping problems involving the supremum of a diffusion. The starting point is the link between works of Peskir and Meilijson, which we describe in a unified manner. The description developped follows mainly the work of Peskir and relies on the maximality principle which links the existence and form of the solution to an optimal stopping problem with a special solution of a certain differential equaiton. We also discuss the so-called optimal Skorokhod embedding problem and provide an explicit solution for a large class of measures.