{
  "id": "1703.06178",
  "version": "v1",
  "published": "2017-03-17T19:25:12.000Z",
  "updated": "2017-03-17T19:25:12.000Z",
  "title": "Optimal stopping of one-dimensional diffusions with integral criteria",
  "authors": [
    "Manuel Guerra",
    "Cláudia Nunes",
    "Carlos Oliveira"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "This paper provides a full characterization of the value function and solution(s) of an optimal stopping problem for a one-dimensional diffusion with an integral criterion. The results hold under very weak assumptions, namely, the diffusion is assumed to be a weak solution of stochastic differential equation satisfying the Engelbert-Schmidt conditions, while the (stochastic) discount rate and the integrand are required to satisfy only general integrability conditions.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2017-03-17T19:25:12.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G40",
      "60H10",
      "93E20"
    ],
    "keywords": [
      "one-dimensional diffusion",
      "integral criterion",
      "general integrability conditions",
      "optimal stopping problem",
      "engelbert-schmidt conditions"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}