On optimal stopping problem for stochastic system driven by levy process

المؤلفون المشاركون

al-Rashid, Intisar
Umar, Hanan

المصدر

Sudan Journal of Basic Sciences. |n Series : Mathematical Science

العدد

المجلد 3، العدد 10 (31 ديسمبر/كانون الأول 2005)، ص ص. 79-87، 9ص.

الناشر

معهد السودان للعلوم الطبيعية وحدة التأليف و النشر

تاريخ النشر

2005-12-31

دولة النشر

السودان

عدد الصفحات

9

التخصصات الرئيسية

الرياضيات

الملخص EN

We consider optimal stopping of system described by stochastic differential equation when the dynamics has jump component.

The stochastic differential equations with jump component have great importance in real life, for example in modeling asset prices in finance.

The general problem of this kind of processes with jumps is considered in the literature, for example see [7], [8].

The problem of optimal stopping time considered in the paper is a special case because of the dynamics we used.

نمط استشهاد جمعية علماء النفس الأمريكية (APA)

al-Rashid, Intisar& Umar, Hanan. 2005. On optimal stopping problem for stochastic system driven by levy process. Sudan Journal of Basic Sciences. |n Series : Mathematical Science،Vol. 3, no. 10, pp.79-87.
https://search.emarefa.net/detail/BIM-267963

نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)

al-Rashid, Intisar& Umar, Hanan. On optimal stopping problem for stochastic system driven by levy process. Sudan Journal of Basic Sciences. |n Series : Mathematical Science Vol. 3, no. 10 (2005), pp.79-87.
https://search.emarefa.net/detail/BIM-267963

نمط استشهاد الجمعية الطبية الأمريكية (AMA)

al-Rashid, Intisar& Umar, Hanan. On optimal stopping problem for stochastic system driven by levy process. Sudan Journal of Basic Sciences. |n Series : Mathematical Science. 2005. Vol. 3, no. 10, pp.79-87.
https://search.emarefa.net/detail/BIM-267963

نوع البيانات

مقالات

لغة النص

الإنجليزية

الملاحظات

Includes bibliographical references : p. 87

رقم السجل

BIM-267963