An optimal stopping problem for a geometric Brownian motion with Poissonian jumps

DOI10.1016/S0895-7177(03)90141-5zbMath1049.60032MaRDI QIDQ596911

Masamitsu Ohnishi

Publication date: 6 August 2004

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

zbMATH Keywords

Optimal stoppingExpected discounted terminal rewardGeometric Brownian motionPoisson jump processSmooth pasting

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Related Items

Existence and uniqueness of stochastic differential equations with random impulses and Markovian switching under non-Lipschitz conditions, On a problem of optimal stopping in mathematical finance

Cites Work

• Optimal stopping for a diffusion with jumps
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