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Stochastic Differential Systems pp 82–90Cite as

On the smooth fit boundary conditions in the optimal stopping problem for semimertingales

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Part of the book series: Lecture Notes in Control and Information Sciences ((LNCIS,volume 126))

Abstract

The well known smooth fit boundary conditions in the optimal stopping problem of Markov diffusion processes are generalized for the optimal stopping problem of semimartingales.

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Authors and Affiliations

  1. Department of Probability Theory and Mathematical Statistics, Tbilisi Mathematical Institute, Academy of Sciences of the Georgian SSR, 150 a, Plekhanov Avenue, 380012, Tbilisi, USSR

    R. J. Chitashvili

Authors
  1. R. J. Chitashvili
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Norbert Christopeit Kurt Helmes Michael Kohlmann

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© 1989 Springer-Verlag

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Chitashvili, R.J. (1989). On the smooth fit boundary conditions in the optimal stopping problem for semimertingales. In: Christopeit, N., Helmes, K., Kohlmann, M. (eds) Stochastic Differential Systems. Lecture Notes in Control and Information Sciences, vol 126. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0043775

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  • DOI: https://doi.org/10.1007/BFb0043775

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-51299-8

  • Online ISBN: 978-3-540-46188-3

  • eBook Packages: Springer Book Archive

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