Optimal stopping with irregular reward functions

Damien Lamberton (1, 2)

1 LAMA - Laboratoire d'Analyse et de Mathématiques Appliquées
2 MATHRISK - Mathematical Risk handling

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]

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