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. doi:10.1080/17442508.2010.522237

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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, Engineering and Medicine > 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
DOI:	10.1080/17442508.2010.522237
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access

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