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On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems

  • Stéphane Villeneuve (a1)

Abstract

In this paper we investigate sufficient conditions that ensure the optimality of threshold strategies for optimal stopping problems with finite or perpetual maturities. Our result is based on a local-time argument that enables us to give an alternative proof of the smooth-fit principle. Moreover, we present a class of optimal stopping problems for which the propagation of convexity fails.

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Corresponding author

Postal address: Manufacture des Tabacs, Université de Toulouse 1, 21 Allée de Brienne, 31000 Toulouse, France. Email address: stephane.villeneuve@univ-tlse1.fr

References

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Keywords

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On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems

  • Stéphane Villeneuve (a1)

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