1-4 September 2015
Angers - France
Europe/Paris timezone

General one-dimensional diffusion: characterization, optimal stopping problem

4 Sep 2015, 14:00
30m
Angers - France

Angers - France

Speaker

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.

Primary author

Prof. Ernst Presman (CEMI RAN)

Co-author

Presentation Materials