An optimal stopping problem with a reward constraint
type: Item
instance of: scholarly article
title: An optimal stopping problem with a reward constraint
zbMATH Open document ID: 1271.60055
author: Weidong Tian
author: Jie Xiong
author: Jérôme Detemple
published in: Finance and Stochastics
publication date: 2012-11-15T00:00:00Z
review text: Motivated by financial contracts with equity-trigger protection, the paper studies optimal stopping problems when the set of stopping times is restricted such that the corresponding discounted value at any instant prior to the stopping time exceeds a given threshold \(F\). The authors first focus on the case where the discounted value process is a submartingale, which implies that the corresponding uncontrained problem is stopped optimally only at the end. As may be expected, the constrained problem is solved by the essential supremum of all stopping times in the constraint set. In discrete time the authors consider general payoff processes. In this case the value and the optimal stopping time of the problem are obtaind by a recursion which closely resembles the ordinary unconstrained case. Finally, the continuous-time results are applied to the pricing of corporate claims.
reviewed by: Jan Kallsen
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6106814
zbMATH Keywords: optimal stopping
zbMATH Keywords: endogenous constrant
zbMATH Keywords: equity-trigger protection
MaRDI profile type: Publication
full work available at URL: s00780-012-0173-4
OpenAlex ID: W2023666143
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DOI: 10.1007/S00780-012-0173-4
description: scientific article; zbMATH DE number 6106814