Author:
Arkin Vadim,Slastnikov Alexander
Abstract
Abstract
We study a problem when the optimal stopping for a one-dimensional diffusion process is generated by a threshold strategy. Namely, we give necessary and sufficient conditions (on the diffusion process and the payoff function) under which a stopping set has a threshold structure.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
3 articles.
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