An optimal stopping problem for fragmentation processes

DOI10.1016/J.SPA.2011.12.009MaRDI QIDQ424467zbMATH OpenOpenAlexFDO

Authors A. E. Kyprianou, J. C. Pardo

Publication date 1 June 2012

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1101.5035

zbMATH Keywords

fragmentation processesgeneralized OrnsteinUhlenbeck processesintegrated exponential Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

Abstract: 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 Levy processes.

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Cited in

(1)

• Discrete model for fragmentation with random stopping

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