Year: 2011
Type: preprint
Abstract: In this article we consider a toy example of an optimal stopping problem driven by fragmentation processes. We show that one can work with the concept of stopping lines to formulate the notion of an optimal stopping problem and moreover, to reduce it to a classical optimal stopping problem for a generalized Ornstein-Uhlenbeck process associated with Bertoin's tagged fragment. We go on to solve the latter using a classical verification technique thanks to the application of aspects of the modern theory of integrated exponential Levy processes.
Source: arXiv (Cornell University)
Authors: Kyprianou, Andreas E., Pardo, Juan Carlos
Institutions: University of Bath, Mathematics Research Center
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2950680346