A harmonic function technique for the optimal stopping of diffusions
Artikel i vetenskaplig tidskrift, 2011

We consider problems of optimal stopping where the driving process is a (one- or multi-dimensional) diffusion. Our approach is motivated by a change of measure techniques and gives a characterization of the optimal stopping set in terms of harmonic functions for one-dimensional diffusions. The generalization to multidimensional diffusions uses the theory of Martin boundaries. Various applications, including exchange options, are given. We treat an example where halfspaces, which are plausible candidates for the optimal stopping set, are in fact strict subsets of it. © 2011 Copyright Taylor and Francis Group, LLC.

diffusions

Martin boundary

harmonic functions

optimal stopping

exchange options

Författare

Sören Christensen

Göteborgs universitet

Chalmers, Matematiska vetenskaper

A. Irle

Stochastics

1744-2508 (ISSN) 1744-2516 (eISSN)

Vol. 83 4-6 347-363

Ämneskategorier

Sannolikhetsteori och statistik

DOI

10.1080/17442508.2010.498915