A capped optimal stopping problem for the maximum process

Details A capped optimal stopping problem for the maximum process A capped optimal stopping problem for the maximum process

2012-04-13

arxiv.org/abs/1204.3119v1

Mathematics

Probability

Scientific paper

This paper concerns an optimal stopping problem driven by the running maximum of a spectrally negative Levy process X. More precisely, we are interested in capped versions of the American lookback optimal stopping problem, which has its origins in mathematical finance, and provide semi-explicit solutions in terms of scale functions. The optimal stopping boundary is characterised by an ordinary first-order differential equation involving scale functions and, in particular, changes according to the path variation of X. Furthermore, we will link these capped problems to Peskir's maximality principle.

Affiliated with

Also associated with

No associations

Rating

A capped optimal stopping problem for the maximum process does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A capped optimal stopping problem for the maximum process, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A capped optimal stopping problem for the maximum process will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-33196