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Multiple Disorder Problems for Wiener and Compound Poisson Processes With Exponential Jumps

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  • Pavel Gapeev
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    Abstract

    The multiple disorder problem consists of finding a sequence of stopping times which are as close as possible to the (unknown) times of "disorder" when the distribution of an observed process changes its probability characteristics. We present a formulation and solution of the multiple disorder problem for a Wiener and a compound Poisson process with exponential jumps. The method of proof is based on reducing the initial optimal switching problems to the corresponding coupled optimal stopping problems and solving the equivalent coupled free-boundary problems by means of the smooth- and continuous-fit conditions.

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    File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2006-074.pdf
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    Bibliographic Info

    Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2006-074.

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    Length: 19 pages
    Date of creation: Oct 2006
    Date of revision:
    Handle: RePEc:hum:wpaper:sfb649dp2006-074

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    Keywords: Multiple disorder problem; Wiener process; compound Poisson process; optimal switching; coupled optimal stopping problem; (integro-differential) coupled free-boundary problem; smooth and continuous fit; Ito-Tanaka-Meyer formula.;

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