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- W2483408995 abstract "This paper studies optimal stopping problems for general diffusion processes with an uncertain time horizon and with different levels of information based on which the decision to stop or to continue is made. First, corresponding value functions are compared and related explicitly to their counterparts without the time uncertainty. Second, to analyze optimal stopping strategies, characterization results regarding connectivity of the “stopping” and “continuation” regions are derived. In particular, sufficient conditions for the well-known “threshold type” optimal stopping rule are given, based on which explicit solutions are derived for problems with standard American call/put type payoff functions. ∗School of Operations Research and Industrial Engineering, Cornell University, Ithaca, NY 14853-3801, USA, Phone (607) 255 8842, Fax (607) 255 9129, email: ac427@cornell.edu. †Department of Industrial Engineering and Operations Research, UC Berkeley, CA 94720-1777, USA, Phone (510) 642 3615, email: xinguo@ieor.berkeley.edu. 1" @default.
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- W2483408995 date "2012-09-01" @default.
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- W2483408995 title "Optimal Stopping Times with Different Information Levels and with Time Uncertainty" @default.
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- W2483408995 doi "https://doi.org/10.1142/9789814383585_0002" @default.
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