Abstract
We present a methodology for obtaining explicit solutions to infinite time horizon optimal stopping problems involving general, one-dimensional, It\^o 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.
| Original language | English |
|---|---|
| Pages (from-to) | 717–744 |
| Number of pages | 28 |
| Journal | IMA Journal of Mathematical Control and Information |
| Volume | 34 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 17 Dec 2015 |
Keywords
- Stochastic Control
- Optimal stopping
- Dynamic programming
- Finance
ASJC Scopus subject areas
- Applied Mathematics
- Statistics and Probability
- Management Science and Operations Research
- Statistics, Probability and Uncertainty
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Timothy Johnson
- School of Mathematical & Computer Sciences - Associate Professor
- School of Mathematical & Computer Sciences, Actuarial Mathematics & Statistics - Associate Professor
Person: Academic (Research & Teaching)