Optimal multiple stopping time problem

DOI10.1214/10-AAP727MaRDI QIDQ640060zbMATH OpenOpenAlexFDO

Authors Magdalena Kobylanski, Marie-Claire Quenez, Elisabeth Rouy-Mironescu

Publication date 12 October 2011

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0910.2788

zbMATH Keywords

optimal stoppingAmerican optionsswing optionsoptimal multiple stopping aggregation

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Financial applications of other theories (91G80) General theory of stochastic processes (60G07) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20)

Abstract: We study the optimal multiple stopping time problem defined for each stopping time $S$ by $v(S)=operatornameesssu{p}_{a{u}_1,\mathrm{...},a{u}_{d}geqS}E[psi(a{u}_1,\mathrm{...},a{u}_d)|mathcal{F}_S]$. The key point is the construction of a new reward $phi$ such that the value function $v(S)$ also satisfies $v(S)=operatornameesssu{p}_{hetageqS}E[phi(heta)|mathcal{F}_S]$. This new reward $phi$ is not a right-continuous adapted process as in the classical case, but a family of random variables. For such a reward, we prove a new existence result for optimal stopping times under weaker assumptions than in the classical case. This result is used to prove the existence of optimal multiple stopping times for $v(S)$ by a constructive method. Moreover, under strong regularity assumptions on $psi$, we show that the new reward $phi$ can be aggregated by a progressive process. This leads to new applications, particularly in finance (applications to American options with multiple exercise times).

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Cited in

(29)

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• Solving non–linear optimal stopping problems by the method of time–change
• Optimal multiple stopping problem under nonlinear expectation
• Optimal multiple stopping of linear diffusions
• Optimal multiple stopping with random waiting times
• Optimal stopping time problem in a general framework
• An exit contract optimization problem
• From finite population optimal stopping to mean field optimal stopping
• On a stopping game in continuous time
• Dynamic Programming Equation for the Mean Field Optimal Stopping Problem
• On the strict value of the non-linear optimal stopping problem
• A Direct Approach to the Solution of Optimal Multiple-Stopping Problems
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• Almost strong equilibria for time-inconsistent stopping problems under finite horizon in continuous time
• Optimal double stopping time problem
• Optimal procurement strategies for contractual assembly systems with fluctuating procurement price
• Dual representations for general multiple stopping problems
• Swing option pricing by dynamic programming with b-spline density projection
• On the optimal exercise boundaries of swing put options
• A class of recursive optimal stopping problems with applications to stock trading
• Reflected and doubly reflected backward stochastic differential equations with irregular obstacles and a large set of stopping strategies
• An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
• A general optimal multiple stopping problem with an application to swing options

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