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

problem, Brownian motion, compound Poisson pro- cess, maximum process, integro-differential free-boundary problem, continuous …-strike lookback option problem and reduce it to an equivalent integro-differential free-boundary problem. In Section 3, we present a … option problem and formulate an equivalent integro-differential free-boundary problem. 2.1. For a precise formulation of the …

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

proof is based on reducing the initial problem to an integro-differential free-boundary problem where the normal reflection … initial problem (2.3) we formulate the corresponding integro-differential free-boundary problem for the infinitesimal operator … formulate the following integro-differential free-boundary problem: (LV)(x;s) = c(x) for g(s) < x < s; (2.7) V …

process with exponential jumps. The method of proof is based on reducing the Bayesian problem to an integro-differential free-boundary … problem where, in some cases, the smooth-fit principle breaks down and is replaced by the principle of continuous fit. …