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.
Domaines
Probabilités [math.PR]Origine | Fichiers éditeurs autorisés sur une archive ouverte |
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