Optimal stopping of one-dimensional diffusions with integral criteria

Carlos Oliveira (Universidade de Lisboa & HU Berlin)
Thursday, June 15, 2017 - 5:00pm
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Raum MA 043

This work provides a full characterization of the value function and solution(s) of an optimal stopping problem for a one-dimensional diffusion with an integral criterion.
The results hold under very weak assumptions, namely, the diffusion is assumed to be a weak solution of a stochastic differential equation satisfying the Engelbert-Schmidt conditions, while the (stochastic) discount rate and the integrand are required to satisfy only general integrability conditions.