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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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