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本文研究了一类随机控制的最优停止问题,其状态结构为一维扩散过程。我们希望找到一个停时,使得过程停止的时候折扣期望回报值达到最大。
In this paper, a class of stochastic control of the optimal stopping problem, the state structure of one-dimensional diffusion process. We want to find a stop-time that maximizes the expected return on discounts when the process is stopped.