A1 Refereed original research article in a scientific journal

A note on optimal stopping of diffusions with a two-sided optimal rule




AuthorsJukka Lempa

Publication year2010

JournalOperations Research Letters

Volume38

Issue1


Abstract

We consider a class of optimal stopping problems of diffusions with a two-sided optimal rule. We propose an approach for finding and characterizing the solution. We establish that the optimal stopping rule can be associated with the unique fixed point of an auxiliary function. The results are illustrated with an explicit example.



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