Abstract
The optimal stopping problem is studied in the paper for functions dependent on the absolute maximum of some homogeneous diffusion. The cases of infinite and finite time horizons are considered. A differential equation for the optimal stopping boundary is obtained in both the cases. A principle of maximum is proved for a function satisfying a single-crossing condition.
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Original Russian Text © A.A. Kamenov. 2015. published in Vestnik Moskovskogo Universiteta. Matematika. Mekhanika. 2015. Vol. 70, No. 5, pp. 7-13.
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Kamenov, A.A. Optimal stopping for absolute maximum of homogeneous diffusion. Moscow Univ. Math. Bull. 70, 202–207 (2015). https://doi.org/10.3103/S0027132215050022
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DOI: https://doi.org/10.3103/S0027132215050022