A class of recursive optimal stopping problems with applications to stock trading
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Publication:6318352
DOI10.1287/MOOR.2021.1190zbMATH Open1520.60026arXiv1905.02650MaRDI QIDQ6318352FDOQ6318352
Authors: Katia Colaneri, Tiziano De Angelis 
Publication date: 7 May 2019
Abstract: In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multi-dimensional Markovian setting we show that the problem is well posed, in the sense that the value is indeed the unique solution to a fixed point problem in a suitable space of continuous functions, and an optimal stopping time exists. We then apply our class of problems to a model for stock trading in two different market venues and we determine the optimal stopping rule in that case.
Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)
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