Stopping of functionals with discontinuity at the boundary of an open set

被引：7

作者：

Palczewski, Jan ^{[1
,2
]}

Stettner, Lukasz ^{[3
,4
]}

机构：

[1] Univ Warsaw, Fac Math, PL-02097 Warsaw, Poland

[2] Univ Leeds, Sch Math, Leeds LS2 9JT, W Yorkshire, England

[3] Polish Acad Sci, Inst Math, PL-00956 Warsaw, Poland

[4] Acad Finance, Warsaw, Poland

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2011年 / 121卷 / 10期

关键词：

Optimal stopping; Feller-Markov process; Discontinuous functional; Penalty method; TIME;

D O I：

10.1016/j.spa.2011.05.013

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We explore properties of the value function and existence of optimal stopping times for functionals with discontinuities related to the boundary of an open (possibly unbounded) set O. The stopping horizon is either random, equal to the first exit from the set O, or fixed (finite or infinite). The payoff function is continuous with a possible jump at the boundary of O. Using a generalization of the penalty method, we derive a numerical algorithm for approximation of the value function for general Feller-Markov processes and show existence of optimal or c-optimal stopping times. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：2361 / 2392

页数：32