00-10   Berichtsreihe des Mathematischen Seminars der Universität Kiel

Volkert Paulsen:

On optimal stopping with smooth reward

In this paper we present a new approach to solve optimal stopping problems for reward processes of the form $e^{-\l t}g(X_t)$ with $\l>0$ and $X$ a one dimensional diffusion. The approach basically relies on an integral equation satisfied by the optimal value function. Furthermore we will apply this to various stopping problems.

Mathematics Subject Classification (1991): 60G40, 62L15

Keywords: optimal stopping , diffusion , perpetual option , American put, early exercise premium

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[Thu Feb 19 18:56:35 2009]
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