Optimal stopping for absolute maximum of homogeneous diffusion

被引：0

作者：

Kamenov A.A. ^{[1
]}

机构：

[1] Moscow State University, Leninskie Gory, Moscow

来源：

Moscow University Mathematics Bulletin | 2015年 / 70卷 / 5期

关键词：

Differential Equation; Time Horizon; Finite Time; Absolute Maximum; Homogeneous Diffusion;

D O I：

10.3103/S0027132215050022

中图分类号：

学科分类号：

摘要：

The optimal stopping problem is studied in the paper for functions dependent on the absolute maximum of some homogeneous diffusion. The cases of infinite and finite time horizons are considered. A differential equation for the optimal stopping boundary is obtained in both the cases. A principle of maximum is proved for a function satisfying a single-crossing condition. © 2015, Allerton Press, Inc.

引用

页码：202 / 207

页数：5

共 50 条

[21] Dynamic optimal portfolio with maximum absolute deviation model
Yu, Mei
Wang, Shouyang
JOURNAL OF GLOBAL OPTIMIZATION, 2012, 53 (02) : 363 - 380
[22] Dynamic optimal portfolio with maximum absolute deviation model
Mei Yu
Shouyang Wang
Journal of Global Optimization, 2012, 53 : 363 - 380
[23] The optimal stopping problem concerned with ultimate maximum of a Lévy process
Sinelnikov S.S.
Moscow University Mathematics Bulletin, 2011, 66 (4) : 158 - 162
[24] Diffusion spiders: Green kernel, excessive functions and optimal stopping
Lempa, Jukka
Mordecki, Ernesto
Salminen, Paavo
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2024, 167
[25] An optimal stopping problem in a diffusion-type model with delay
Gapeev, PV
Reiss, M
STATISTICS & PROBABILITY LETTERS, 2006, 76 (06) : 601 - 608
[26] Optimal Stopping Problem Associated with Jump-diffusion Processes
Ishikawa, Yasushi
STOCHASTIC ANALYSIS WITH FINANCIAL APPLICATIONS, HONG KONG 2009, 2011, 65 : 99 - 120
[27] Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
De Angelis, Tiziano
FINANCE AND STOCHASTICS, 2020, 24 (01) : 71 - 123
[28] Discounted optimal stopping for maxima in diffusion models with finite horizon
Gapeev, Pavel V.
ELECTRONIC JOURNAL OF PROBABILITY, 2006, 11 : 1031 - 1048
[29] Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
Tiziano De Angelis
Finance and Stochastics, 2020, 24 : 71 - 123
[30] DIFFUSION TRANSFORMATIONS, BLACK-SCHOLES EQUATION AND OPTIMAL STOPPING
Cetin, Umut
ANNALS OF APPLIED PROBABILITY, 2018, 28 (05): : 3102 - 3151

← 1 2 3 4 5 →