کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10527265 958770 2012 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
An optimal stopping problem for fragmentation processes
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
An optimal stopping problem for fragmentation processes
چکیده انگلیسی
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 Lévy processes.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 122, Issue 4, April 2012, Pages 1210-1225
نویسندگان
, ,