Vertaisarvioitu alkuperäisartikkeli tai data-artikkeli tieteellisessä aikakauslehdessä (A1)

Optimal variance stopping with linear diffusions




Julkaisun tekijät: Kamille Sofie Tågholt Gad, Pekka Matomäki

Kustantaja: Elsevier

Julkaisuvuosi: 2020

Journal: Stochastic Processes and their Applications

Tietokannassa oleva lehden nimi: Stochastic Processes and their Applications

Volyymi: 130

ISSN: 0304-4149

eISSN: 1879-209X

DOI: http://dx.doi.org/10.1016/j.spa.2019.07.001

Verkko-osoite: https://doi.org/10.1016/j.spa.2019.07.001

Rinnakkaistallenteen osoite: https://arxiv.org/abs/1612.09167


Tiivistelmä

We study the optimal stopping problem of maximizing the variance of an unkilled linear diffusion. Especially, we demonstrate how the problem can be solved as a convex two-player zero-sum game, and reveal quite surprising application of game theory by doing so. Our main result shows that an optimal solution can, in a general case, be found among stopping times that are mixtures of two hitting times. This and other revealed phenomena together with suggested solution methods could be helpful when facing more complex non-linear optimal stopping problems. The results are illustrated by a few examples.


Last updated on 2022-23-02 at 13:53