Título:
Optimal stopping of oscillating Brownian motion
Otros títulos:
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Autor:
Mordecki, Ernesto
Salminen, Paavo
Salminen, Paavo
Tutor:
Tipo de documento:
Artículo
Editor:
Palabras clave:
Excessive function
Integral representation of excessive functions
Integral representation of excessive functions
Descriptores:
Año de publicación:
2019
Contenido:
Resumen:
We solve optimal stopping problems for an oscillating Brownian motion, i.e. a diffusion with positive piecewise constant volatility changing at the point x=0. Let σ1 and σ 2 denote the volatilities on the negative and positive half-lines, respectively. Our main result is that continuation region of the optimal stopping problem with reward
((1+x)+)2 can be disconnected for some values of the discount rate when 2 σ 21 <σ22. Based on the fact that the skew Brownian motion in natural scale is an oscillating Brownian motion, the obtained results are translated into corresponding results for the skew Brownian motion.
Descripción:
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Editorial:
Institute of Mathematical Statistics and Bernoulli Society
EN:
Electronic Communications in Probability, 2019, 24(50): 1-12
Financiadores:
Citación:
Mordecki Pupko, E y Salminen, P. "Optimal stopping of oscillating Brownian motion". Electronic Communications in Probability. [en línea] 2019, 24(50): 1-12. 12 h. DOI: 10.1214/19-ECP250
Citación:
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ISBN:
e-ISBN:
ISSN:
1083-589X
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Licencia:
Licencia Creative Commons Atribución (CC - By 4.0)
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| Ficheros | Descripción | Tamaño | Formato | ||
|---|---|---|---|---|---|
| 10.121419-ECP250.pdf | — | 252.33 KB | Adobe PDF |