Abstract
We consider the solvability of the ordinary differential equation (ODE)
Acknowledgements
We are grateful to several participants in the Optimal Stopping with Applications Symposium that was held in Manchester on 22–27 January 2006, where part of the results in this paper were presented by the second author, for numerous helpful discussions. We are indebted to Andrew Jack and Damien Lamberton whose critical and detailed comments lead to a significant enhancement of the paper. We also thank an anonymous referee for several useful comments.
Notes
†Research supported by EPSRC grant no. GR/S22998/01.