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Constructing time-homogeneous generalized diffusions consistent with optimal stopping values

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Hobson, David (David G.) and Klimmek, Martin. (2011) Constructing time-homogeneous generalized diffusions consistent with optimal stopping values. Stochastics An International Journal of Probability and Stochastic Processes, Vol.83 (No.4-6). pp. 477-503. ISSN 1744-2508

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Official URL: http://dx.doi.org/10.1080/17442508.2010.522237

Abstract

Consider a set of discounted optimal stopping problems for a one-parameter family of objective functions and a fixed diffusion process, started at a fixed point. A standard problem in stochastic control/optimal stopping is to solve for the problem value in this setting. In this article we consider an inverse problem; given the set of problem values for a family of objective functions, we aim to recover the diffusion. Under a natural assumption on the family of objective functions, we can characterize the existence and uniqueness of a diffusion for which the optimal stopping problems have the specified values. The solution of the problem relies on techniques from generalized convexity theory.

Item Type:

Journal Article

Subjects:

Q Science > QA Mathematics

Divisions:

Faculty of Science > Statistics

Library of Congress Subject Headings (LCSH):

Optimal stopping (Mathematical statistics), Diffusion processes

Journal or Publication Title:

Stochastics An International Journal of Probability and Stochastic Processes

Publisher:

Taylor & Francis Ltd.

ISSN:

1744-2508

Official Date:

2011

Dates:

Date	Event
2011	Published

Volume:

Vol.83

Number:

No.4-6

Page Range:

pp. 477-503

Identification Number:

10.1080/17442508.2010.522237

Status:

Peer Reviewed

Publication Status:

Published

Access rights to Published version:

Restricted or Subscription Access

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