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- Title
The solution of some discretionary stopping problems.
- Authors
JOHNSON, TIMOTHY C.
- Abstract
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, Itô diffusions, payoff functions that need not be smooth and state-dependent discounting. This is done within a framework based on dynamic programming techniques employing variational inequalities. The aim of this paper is to facilitate the solution of a wide variety of problems, particularly in finance or economics.
- Subjects
DYNAMIC programming; MATHEMATICAL optimization; INFINITY (Mathematics); DIFFUSION; SEPARATION (Technology)
- Publication
IMA Journal of Mathematical Control & Information, 2017, Vol 34, Issue 3, p717
- ISSN
0265-0754
- Publication type
Article
- DOI
10.1093/imamci/dnv060