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# 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} }

- Published 2008 in Math. Oper. Res.
DOI:10.1287/moor.1070.0308

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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