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math.PR2017
Optimal stopping of one-dimensional diffusions with integral criteria
Manuel Guerra, Cláudia Nunes, Carlos Oliveira
This paper provides a full characterization of the value function and solution(s) of an optimal stopping problem for a one-dimensional diffusion with an integral criterion. The res…
math.OC2017
On a Class of Optimal Stopping Problems with Applications to Real Option Theory
Manuel Guerra, Cláudia Nunes, Carlos Oliveira
We consider an optimal stopping time problem related with many models found in real options problems. The main goal of this work is to bring for the field of real options, differen…