Optimal stopping with advanced information flow: selected examples

• Autorzy: Yaozhong Hu , Bernt Øksendal
• Języki publikacji: EN

Abstrakty

EN

We study optimal stopping problems for some functionals of Brownian motion in the case when the decision whether or not to stop before (or at) time t is allowed to be based on the δ-advanced information $ℱ_{t+δ}$, where $ℱ_s$ is the σ-algebra generated by Brownian motion up to time s, s ≥ -δ, δ > 0 being a fixed constant. Our approach involves the forward integral and the Malliavin calculus for Brownian motion.

Kategorie tematyczne

• 60G51: Processes with independent increments; L\'evy processes
• 93E20: Optimal stochastic control
• 60H05: Stochastic integrals

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2008
• Tom: 83
• Numer: 1
• Strony: 107-116

Daty

wydano

2008

Twórcy

autor

Yaozhong Hu

• Department of Mathematics, University of Kansas, 405 Snow Hall, Lawrence, Kansas 66045-2142, U.S.A.
• Center of Mathematics for Applications (CMA), Department of Mathematics, University of Oslo, Box 1053, Blindern, N-0316, Oslo, Norway

autor

Bernt Øksendal

• Center of Mathematics for Applications (CMA), Department of Mathematics, University of Oslo, Box 1053, Blindern, N-0316, Oslo, Norway
• Norwegian School of Economics and Business Administration, Helleveien 30, N-5045, Bergen, Norway

Identyfikatory

DOI

10.4064/bc83-0-7