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Article Dans Une Revue Stochastic Processes and their Applications Année : 2009

Optimal stopping with irregular reward functions

Résumé

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.
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Dates et versions

hal-00796701 , version 1 (04-03-2013)

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  • HAL Id : hal-00796701 , version 1

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Damien Lamberton. Optimal stopping with irregular reward functions. Stochastic Processes and their Applications, 2009, 119 (10), pp.3253-3284. ⟨hal-00796701⟩
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