An optimal stopping problem for fragmentation processes

Details An optimal stopping problem for fragmentation processes An optimal stopping problem for fragmentation processes

2011-01-26

arxiv.org/abs/1101.5035v1

Mathematics

Probability

Scientific paper

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.

Affiliated with

Also associated with

No associations

Rating

An optimal stopping problem for fragmentation processes 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 An optimal stopping problem for fragmentation processes, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and An optimal stopping problem for fragmentation processes will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-418805