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Optimal stopping with irregular reward functions

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  • Lamberton, Damien

Abstract

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.

Suggested Citation

  • Lamberton, Damien, 2009. "Optimal stopping with irregular reward functions," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3253-3284, October.
    • Handle: RePEc:eee:spapps:v:119:y:2009:i:10:p:3253-3284
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    References listed on IDEAS

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    1. ,, 2002. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 18(1), pages 193-194, February.
    2. ,, 2002. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 18(2), pages 541-545, April.
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    Cited by:

    1. Jonas Al-Hadad & Zbigniew Palmowski, 2020. "Perpetual American options with asset-dependent discounting," Papers 2007.09419, arXiv.org, revised Jan 2021.
    2. Palczewski, Jan & Stettner, Lukasz, 2011. "Stopping of functionals with discontinuity at the boundary of an open set," Stochastic Processes and their Applications, Elsevier, vol. 121(10), pages 2361-2392, October.
    3. Timothy C. Johnson, 2012. "The solution of discretionary stopping problems with applications to the optimal timing of investment decisions," Papers 1210.2617, arXiv.org.

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