Optimal stopping with irregular reward functions
Optimal stopping with irregular reward functions
复制标题
具有不规则奖励函数的最佳停止
DOI：
10.1016/j.spa.2009.05.005
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发表时间：
2009
影响因子：
1.4
通讯作者：
D. Lamberton
中科院分区：
文献类型：
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作者：
D. Lamberton
我们考虑一维扩散的有限时间最优停止问题。我们假设报酬函数是有界的和Borel可测的，并证明了值函数是连续的，并且可以刻画为分布意义下变分不等式的唯一解。
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.