Optimal Stopping For Stochastic Functional

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

Mou-Hsiung Chang  Tao Pang   Moustapha  Pemy
Abstract：
We consider a finite time horizon optimal stopping problem for a
system of stochastic functional differential equations with a bounded
memory. Under some sufficiently smooth conditions, a Hamilton-Jacobi-
Bellman (HJB) variational inequality for the value function is derived
via dynamical programming principle. It is shown that the value function
is the unique viscosity solution of the HJB variational inequality.
As an application of the results obtained, a pricing problem is considered
for American options in a financial market with one riskless
bank account that grows according to a deterministic linear functional
differential equation and one stock whose price dynamics follows a nonlinear
stochastic functional differential equation. It is shown that the
option pricing can be formulated into an optimal stopping problem
considered in this paper and therefore all results obtained are applicable
under very realistic assumptions.

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：Stochastic Functional Stochast function Stopping For Stochastic Functional optimal Stopping

下载瞧瞧
谢谢楼主的分享

谢谢！！！

1# dingleshao


Thanks!