Optimal stopping of oscillating Brownian motion.

Ernesto Mordecki, Paavo Salminen

    Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

    1 Citeringar (Scopus)


    We solve optimal stopping problems for an oscillating Brownian motion, i.e. a diffusion with positive piecewise constant volatility changing at the point $x=0$. Let $sigma_1$ and $sigma_2$ denote the volatilities on the negative and positive half-lines, respectively. Our main result is that continuation region of the optimal stopping problem with reward $((1+x)^+)^2$ can be disconnected for some values of the discount rate when $2sigma_1^2

    Sidor (från-till)1–12
    TidskriftElectronic Communications in Probability
    StatusPublicerad - 2019
    MoE-publikationstypA1 Tidskriftsartikel-refererad

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