Optimal Stopping Problems for a Brownian Motion with Disorder on a Segment

DOI10.1137/S0040585X97986448MaRDI QIDQ5166322zbMATH OpenOpenAlexFDO

Authors Albert N. Shiryaev, M. V. Zhitlukhin

Publication date 26 June 2014

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1212.3709

zbMATH Keywords

optimal stopping problemsdisorder detection problemsShiryaev-Roberts statistic

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Abstract: We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a finite interval. Optimal stopping rules are found as the first hitting times of some Markov process (the Shiryaev-Roberts statistic) to time-dependent boundaries, which are characterized by certain Volterra integral equations. The problems considered are related to mathematical finance and can be applied in questions of choosing the optimal time to sell an asset with changing trend.

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Cited in

(7)

• Disorder problem for a Brownian motion on a segment in the case of uniformly distributed moment of disorder
• Compound Poisson disorder problem with uniformly distributed disorder time
• Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
• Optimal stopping of oscillating Brownian motion
• Three-dimensional Brownian motion and the golden ratio rule
• Optimal redeeming strategy of stock loans under drift uncertainty
• Bayesian disorder problem for the Brownian bridge

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