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Solving non–linear optimal stopping problems by the method of time–change

 

作者: J.L. Pederson,   G. Perkir,  

 

期刊: Stochastic Analysis and Applications  （Taylor Available online 2000）
卷期: Volume 18, issue 5  

页码: 811-835

 

ISSN:0736-2994

 

年代: 2000

 

DOI:10.1080/07362990008809698

 

出版商: Marcel Dekker, Inc.

 

关键词: 60G40;60J60;60J25;60E15;Non-linear Optimal Stopping Problem;Diffusion;Time Change;Brownian Motion;(reflected)Ornstein-Uhlenbeck Process;Bessel Process;Brownian Scaling;Free Boundary Problem(Stephan problem with moving boundary);The Principle of Smooth Fit

 

数据来源: Taylor

 

摘要:

Some non–linear optimal stopping problems can be solved explicitly by using a common method which is based on time–change.We describe this method and illustrate its use by considering several examples dealing with Brownian motion.In each of these examples we derive explicit formulas for the value function and display the optimal stopping time. The main emphasis of the paper is on the method of proof and its unifying scope

 

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