{
  "id": "1508.01184",
  "version": "v1",
  "published": "2015-08-05T19:17:53.000Z",
  "updated": "2015-08-05T19:17:53.000Z",
  "title": "Variational View to Optimal Stopping Problems for Diffusion Processes and Threshold Strategies",
  "authors": [
    "V. I. Arkin",
    "A. D. Slastnikov"
  ],
  "comment": "24 pages",
  "categories": [
    "math.PR"
  ],
  "abstract": "We describe a variational approach to solving optimal stopping problems for diffusion processes, as an alternative to the traditional approach based on the solution of the free-boundary problem. We study smooth pasting conditions from a variational point of view, and give some examples when the solution to free-boundary problem is not the solution to optimal stopping problem. A special attention is paid to threshold strategies which allow reduce optimal stopping problem to more simple one-parametric optimization. Necessary and sufficient conditions for threshold structure of optimal stopping time are derived. We apply these results to both investment timing and optimal abandon models.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2015-08-05T19:17:53.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "diffusion processes",
      "threshold strategies",
      "variational view",
      "free-boundary problem",
      "study smooth pasting conditions"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 24,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2015arXiv150801184A"
    }
  }
}