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JOURNALS // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika // Archive

Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2015 Number 5, Pages 7–13 (Mi vmumm260)

Mathematics

Optimal stopping for absolute maximum of homogeneous diffusion

A. A. Kamenov

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: The article deals with the optimal stopping problem in case when the reward function depends on the absolute maximum of some homogeneous diffusion. We consider cases of infinite and finite time horizon. In both cases the differential equation for the optimal stopping boundary is obtained. Also, we prove that the maximality principle holds for reward functions which satisfy single-crossing condition.

Key words: homogeneous diffusions, optimal stopping, maximum process, envelope theorem.

UDC: 519.244.5(043)

Received: 02.06.2014


 English version:
Moscow University Mathematics Bulletin, Moscow University Måchanics Bulletin, 2015, 70:5, 202–207

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© Steklov Math. Inst. of RAS, 2024