Optimal double stopping time

Details Optimal double stopping time Optimal double stopping time

2009-09-18

arxiv.org/abs/0909.3363v1

Mathematics

Probability

6 pages

Scientific paper

We consider the optimal double stopping time problem defined for each stopping time $S$ by $v(S)=\esssup\{E[\psi(\tau_1, \tau_2) | \F_S], \tau_1, \tau_2 \geq S \}$. Following the optimal one stopping time problem, we study the existence of optimal stopping times and give a method to compute them. The key point is the construction of a {\em new reward} $\phi$ such that the value function $v(S)$ satisfies $v(S)=\esssup\{E[\phi(\tau) | \F_S], \tau \geq S \}$. Finally, we give an example of an american option with double exercise time.

Affiliated with

Also associated with

No associations

Rating

Optimal double stopping time 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 Optimal double stopping time, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Optimal double stopping time will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-276281