An optimal stopping problem for fragmentation processes
In this article we consider a toy example of an optimal stopping problem driven by fragmentation processes. We show that one can work with the concept of stopping lines to formulate the notion of an optimal stopping problem and moreover, to reduce it to a classical optimal stopping problem for a generalized Ornstein–Uhlenbeck process associated with Bertoin’s tagged fragment. We go on to solve the latter using a classical verification technique thanks to the application of aspects of the modern theory of integrated exponential Lévy processes.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 122 (2012)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description|
|Order Information:|| Postal: http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gapeev, Pavel V., 2008. "The integral option in a model with jumps," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2623-2631, November.
- Maulik, Krishanu & Zwart, Bert, 2006. "Tail asymptotics for exponential functionals of Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 116(2), pages 156-177, February.
- Jagers, Peter, 1989. "General branching processes as Markov fields," Stochastic Processes and their Applications, Elsevier, vol. 32(2), pages 183-212, August.
When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:122:y:2012:i:4:p:1210-1225. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.