Abstract:The maximality principle has proved to be a valuable tool for identifying the optimal stopping boundaries in optimal stopping problems involving one-dimensional time-homogeneous diffusions and their running maximum processes. The principle characterises the optimal stopping boundary as the maximal solution to a first-order nonlinear ODE that remains strictly below the diagonal in $\mathbb{R}^2$ or a "zero-level curve". In this paper, we construct a suitably tailored optimal stopping problem to which the maximality principle is not applicable.
From: Neofytos Rodosthenous [view email]
[v1]
Fri, 23 May 2025 21:51:56 UTC (1,514 KB)
[v2]
Wed, 9 Sep 2026 08:40:36 UTC (1,517 KB)
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