irregular optimal stopping problem to an integro-differential free-boundary problem and solving the latter by using continuous …

reducing the initial problem to an optimal stopping problem for a (continuous) two-dimensional Markov process and solving the …-of-measure theorem allows to reduce the Russian option problem to a one-dimensional optimal stopping problem that explained the …-dimensional in the sense that it cannot be reduced to an optimal stopping problem for a one-dimensional (time-homogeneous) Markov …

We present a solution to some discounted optimal stopping problem for the maximum of a geometric Brownian motion on a … finite time interval. The method of proof is based on reducing the initial optimal stopping problem with the continuation … reducing the initial optimal stopping problem with the continuation region determined by an increasing contin- uous boundary …

disorder problem, Wiener process, compound Poisson process, optimal switching, coupled optimal stopping problem, (integro … stopping problem and formulate the corresponding coupled free-boundary problem. In Section 3, we derive solutions to the … stopping problem: V∗(pi) = inf τ Epi bracketleftbigg b(1−piτ) + integraldisplay τ 0 pit dt+W∗(piτ) bracketrightbigg (2.10) W …

We present an explicit solution to the formulated in [17] optimal stopping problem for a geometric compound Poisson … solution to the optimal stopping problem (2.3)fortheprocess S definedin(2.1)-(2.2). Thisproblemisrelatedtotheoption … problem (2.3) being a discounted optimal stopping problem for an integral of a jump process under some relationships on the …

irregular optimal stopping problem to an integro-differential free-boundary problem and solving the latter by using continuous … on reducing the initial irregular optimal stopping problem to an integro-difierential free-boundary problem and solving …: American double barrier options, optimal stopping problem, jump-difiusion model, integro-difierential free-boundary problem …

We present a solution to the considered in [5] and [22] optimal stopping problem for some jump processes. The method of …. Introduction The main aim of this paper is to present a solution to the optimal stopping problem (2.3) for the maximum associated … a solution of the optimal stopping problem (2.3) for the defined in (2.1)-(2.2) jump process (X;S). We also remark that …