On optimal stopping problem for stochastic system driven by levy process

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.