大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Explicit Solutions for Optimal Stopping of Linear Diffusion and its Maximum

尾立 唯生（首都大学東京）

1. ホーム
2. セミナー・集中講義
3. セミナー
4. Explicit Solutions for Optimal Stopping of Linear Diffusion and its Maximum

大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第98回

Explicit Solutions for Optimal Stopping of Linear Diffusion and its Maximum

尾立 唯生（首都大学東京）

We provide, in a fairly general setting, explicit solutions for optimal stopping problems concerned with a diffusion process and its running maximum. Our approach is to use excursion theory for Markov processes and rewrite the original two-dimensional problem as an infinite number of one-dimensional ones. Our method is rather direct without presupposing the existence of an optimal threshold or imposing a smooth- fit condition. We present a systematic solution method by illustrating it through classical and new examples.