An optimal stopping problem for fragmentation processes
type: Item
instance of: scholarly article
title: An optimal stopping problem for fragmentation processes
zbMATH Open document ID: 1253.60056
author: A. E. Kyprianou
author: J. C. Pardo
published in: Stochastic Processes and their Applications
publication date: 2012-06-01T00:00:00Z
full work available at URL: https://arxiv.org/abs/1101.5035
review text: This paper addresses the previously never treated issue of how a homogeneous fragmentation process (for these, see, e.g., the book by \textit{J. Bertoin} [Random fragmentation and coagulation processes. Cambridge: Cambridge University Press (2006; Zbl 1107.60002)]) may be used to drive optimal stopping problems. In Section 3, the authors give (and interpret) a toy optimal stopping problem for a certain homogeneous fragmentation process. In Section 2, the definition of a stopping line (which was introduced in the book by Bertoin [loc. cit.]) is given and the ``many-to-one principle'' is formulated which basically goes back to \textit{J. Berestycki}, \textit{S. C. Harris} and \textit{A. E. Kyprianou} [Ann. Appl. Probab. 21, No. 5, 1749--1794 (2011; Zbl 1245.60069)]. It is then shown how the theory of stopping lines allows the above optimal stopping problem to be converted to a classical optimal stopping problem for a generalized Ornstein-Uhlenbeck process associated with Bertoin's tagged fragment. The latter is then solved by using a classical verification technique thanks to the application of certain aspects of the modern theory of integrated exponential Lévy processes.
reviewed by: Klaus Schürger
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60J25
zbMATH DE Number: 6040281
zbMATH Keywords: fragmentation processes
zbMATH Keywords: generalized Ornstein
zbMATH Keywords: Uhlenbeck processes
zbMATH Keywords: integrated exponential Lévy process
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W2139097546
arXiv ID: 1101.5035
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DOI: 10.1016/J.SPA.2011.12.009
description: scientific article; zbMATH DE number 6040281