An optimal stopping problem for jump diffusion logistic population model
type: Item
instance of: scholarly article
title: An optimal stopping problem for jump diffusion logistic population model
zbMATH Open document ID: 1400.60058
DOI: 10.1155/2016/5839672
author: Yang Sun
author: Xiaohui Ai
published in: Mathematical Problems in Engineering
publication date: 2018-10-12T00:00:00Z
review text: Summary: This paper examines an optimal stopping problem for the stochastic (Wiener-Poisson) jump diffusion logistic population model. We present an explicit solution to an optimal stopping problem of the stochastic (Wiener-Poisson) jump diffusion logistic population model by applying the smooth pasting technique [\textit{S. Dayanik} and \textit{I. Karatzas}, Stochastic Processes Appl. 107, No. 2, 173--212 (2003; Zbl 1075.60524); \textit{A. Dixit}, I moti Browniani e l'arte dell' incollare (Italian). Milano: Giuffrè Editore (1997; Zbl 0997.60508)]. We formulate this as an optimal stopping problem of maximizing the expected reward. We express the critical state of the optimal stopping region and the optimal value function explicitly.
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 92D25
zbMATH DE Number: 6953367
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2016/5839672
OpenAlex ID: W2487743742
Wikidata QID: Q59131723
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description: scientific article; zbMATH DE number 6953367