An optimal stopping problem for fragmentation processes

DOI10.1016/J.SPA.2011.12.009zbMATH Open1253.60056arXiv1101.5035OpenAlexW2139097546MaRDI QIDQ424467FDOQ424467

A. E. Kyprianou, J. C. Pardo

Publication date: 1 June 2012

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

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.

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

zbMATH Keywords

fragmentation processesgeneralized Ornstein[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=integrated+exponential+L%EF%BF%BD%EF%BF%BDvy+process&go=Go integrated exponential L��vy process]Uhlenbeck processes

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)

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Cited In (1)

• Discrete model for fragmentation with random stopping

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