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On the threshold strategies in optimal stopping problems for diffusion processes
Published online by Cambridge University Press: 15 September 2017
Abstract
We study a problem when the optimal stopping for a one-dimensional diffusion process is generated by a threshold strategy. Namely, we give necessary and sufficient conditions (on the diffusion process and the payoff function) under which a stopping set has a threshold structure.
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- Copyright © Applied Probability Trust 2017
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