On optimal stopping problems for matrix-exponential jump-diffusion processes (Q2897161)
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scientific article; zbMATH DE number 6053728
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On optimal stopping problems for matrix-exponential jump-diffusion processes |
scientific article; zbMATH DE number 6053728 |
Statements
8 July 2012
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optimal stopping problem
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American call-type reward function
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averaging problem
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matrix-exponential distribution
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jump-diffusion process
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On optimal stopping problems for matrix-exponential jump-diffusion processes (English)
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The authors consider optimal stopping problems for a general class of reward functions under matrix-exponential jump-diffusion processes. Given an American call-type reward function in this class, following the averaging problem approach (see, for example, [\textit{L. Alili} and \textit{A. E. Kyprianou}, Ann. Appl. Probab. 15, No. 3, 2062--2080 (2005; Zbl 1083.60034); \textit{A. E. Kyprianou} and \textit{B. A. Surya}, Electron. Commun. Probab. 10, 146--154 (2005; Zbl 1111.60024); \textit{A. Novikov} and \textit{A. Shiryaev}, Stochastics 79, No. 3--4, 393--406 (2007; Zbl 1114.60035); \textit{B. A. Surya}, Stochastics 79, No. 3--4, 337--361 (2007; Zbl 1156.60026)]), the authors give an explicit formula for solutions of the corresponding averaging problem. Based on this explicit formula, they obtain the optimal level and the value function for American call-type optimal stopping problems.
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