Mathematisches Seminar

Seminarvortrag Dr. Jukka Lempa (Universität Oslo): "Optimal Stopping with Information Constraint"

30.05.2013 von 10:15 bis 11:45

LMS 4, Raum 526

Abstract:

We discuss optimal stopping of diffusion process with random intervention times. More precisely, we investigate a maximization problem of the expected present value of the exercise payoff where the underlying dynamics follow a linear diffusion. The decision maker is not allowed to stop at any time she chooses but rather on the jump times of an independent Poisson process. This problem was originally studied in [1] in the case where the underlying is a geometric Brownian motion and the payoff function is of American call option type. In this talk (which is based on [2]), we present general classes of underlying diffusions and payoff structures for which this problem can be solved. We also discuss methods of solution and illustrate the results with some explicit examples. [1] Dupuis, P., Wang, H.: Optimal stopping with random intervention times.

Adv. Appl. Probab. 34, 141–157 (2002) [2] Lempa, J.: Optimal stopping with information constraint. Appl. Math. Opt. 66/2, 147-173 (2012)

 

Einladende: Irle, Christensen

 

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