On optimal stopping problem for stochastic system driven by levy process
Joint Authors
Source
Sudan Journal of Basic Sciences. |n Series : Mathematical Science
Issue
Vol. 3, Issue 10 (31 Dec. 2005), pp.79-87, 9 p.
Publisher
Sudan Institute for Natural Sciences Publication Unit
Publication Date
2005-12-31
Country of Publication
Sudan
No. of Pages
9
Main Subjects
Abstract 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.
American Psychological Association (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
Modern Language Association (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
American Medical Association (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
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 87
Record ID
BIM-267963