Optimal Stopping of Linear Diffusions with Random Discounting

@article{Dayanik2008OptimalSO,
  title={Optimal Stopping of Linear Diffusions with Random Discounting},
  author={Savas Dayanik},
  journal={Math. Oper. Res.},
  year={2008},
  volume={33},
  pages={645-661}
}
We propose a new solution method for optimal stopping problems with random discounting for linear diffusions whose state space has a combination of natural, absorbing, or reflecting boundaries. The method uses a concave characterization of excessive functions for linear diffusions killed at a rate determined by a Markov additive functional and reduces the original problem to an undiscounted optimal stopping problem for a standard Brownian motion. The latter can be solved essentially by… CONTINUE READING
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