A class of recursive optimal stopping problems with an application to stock trading
Veranstaltungsort
N.2.01
Veranstalter
Institut für Statistik
Beschreibung
In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multi-dimensional Markovian setting we show that the problem is well posed, in the sense that the value is indeed the unique solution to a fixed point problem in a suitable space of continuous functions, and an optimal stopping time exists. We then apply our class of problems to a model for stock trading in two different market venues and we determine the optimal stopping rule in that case. This is a joint work with Tiziano De Angelis.
Vortragende(r)
Dr. Katia Colaneri (University of Leeds)
Kontakt
Simone Gahleitner (simone [dot] gahleitner [at] aau [dot] at)
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