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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. doi:10.1080/17442508.2010.522237 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 | ||||
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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: |
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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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