Laboratory of Structural Methods of Data Analysis in Predictive
Modeling Moscow Institute of Physics and Technology
ENG
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Optimal stopping problems for a Brownian motion with a disorder on a finite interval
Publication Type: Web Article

We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a finite interval. Optimal stopping rules are found as the first hitting times of some Markov process (the Shiryaev-Roberts statistic) to time-dependent boundaries, which are characterized by certain Volterra integral equations. The problems considered are related to mathematical finance and can be applied in questions of choosing the optimal time to sell an asset with changing trend.

Авторы: Shiryaev Albert

Дата: 16 ноября 2014

Статус: опубликована

Год: 2012

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Направления исследований

Stochastic optimization and optimal stopping

Statistical methods

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