Please use this identifier to cite or link to this item: http://cimat.repositorioinstitucional.mx/jspui/handle/1008/593
An Optimal Stopping Problem for Fragmentation Processes
JUAN CARLOS PARDO MILLAN
Acceso Abierto
Atribución-NoComercial
Procesos de Levy
In this article we consider a toy example of an optimal stopping problem driven by fragmentation processes. We show that one can work with the concept of stopping lines to formulate the notion of an optimal stopping problem and moreover, to reduce it to a classical optimal stopping problem for a generalized Ornstein-Uhlenbeck process associated with Bertoin's tagged fragment. We go on to solve the latter using a classical veri cation technique thanks to the application of aspects of the modern theory of integrated exponential Levy processes.
Centro de Investigación en Matemáticas AC
27-01-2011
Reporte
Inglés
Investigadores
PROCESOS DE MARKOV
Versión publicada
publishedVersion - Versión publicada
Appears in Collections:Reportes Técnicos - Probabilidad y Estadística

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