1–4 sept. 2015
Angers - France
Fuseau horaire Europe/Paris

General one-dimensional diffusion: characterization, optimal stopping problem

4 sept. 2015, 14:00
30m
Angers - France

Angers - France

Orateur

Prof. Ernst Presman (CEMI RAN)

Description

The talk is devoted to the general one-dimensional diffusion. We discuss the definition and characterization of such processes: scale, speed measure, killing measure. The generating operator is considered on an extended space of functions (as compared with a classical approach). We give a local characterization potential functions and excessive functions. For the general one-dimensional diffusion we give a necessary and sufficient conditions that the optimal strategy in the optimal stopping problem has a threshold or an island character.

Auteur principal

Prof. Ernst Presman (CEMI RAN)

Co-auteur

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