A CLASS OF SOLVABLE OPTIMAL STOPPING PROBLEMS OF SPECTRALLY NEGATIVE JUMP DIFFUSIONS

作者：Alvarez Luis H R E; Matomaki Pekka; Rakkolainen Teppo A

来源：SIAM Journal on Control and Optimization, 2014, 52(4): 2224-2249.

DOI：10.1137/13090941X

• jump diffusions
• optimal stopping
• nonlinear programming
• certainty equivalence

We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of an ordinary nonlinear programming problem. We establish a connection between the considered problem and a stopping problem of an associated continuous diffusion process and demonstrate how this connection may be applied for characterizing the stopping policy and its value. We also establish a set of typically satisfied conditions under which increased volatility as well as higher jump intensity decelerates rational exercise by increasing the value and expanding the continuation region.

• 出版日期2014