[Probabilidad-Estadistica-Seminario] Seminario de Probabilidad y Estadística

[seminarios en cmat.edu.uy]

Viernes 10/5 a las 10:30, Salón de seminarios del piso 14, CMAT

Seminario de Probabilidad y Estadística

Expositor: Ernesto Mordecki, Centro de Matemática -- Facultad de Ciencias

Título: Optimal stopping for diffusion with discontinuous coefficients

Resumen: We show through examples that simple discontinuity of the coefficients of a diffusion produce non connected optimal stopping regions for  simple payoffs.  Our examples comprise the broken drift diffusion (i.e. a diffusion with piecewise constant drift coefficient changing at zero) and a linear payoff and the oscillating brownian motion (i.e. a diffusion with piecewise constant  diffusion coefficient changing at zero) with a quadratic payoff.  Both examples show  the same behaviour. This is joint work with Paavo Salminen.  References  1) Optimal stopping of Brownian motion with broken drift. Ernesto Mordecki Paavo Salminen High Frequency. Pages: 113-120. First Published:  11 April 2019  2) Optimal stopping of oscillating Brownian motion. Ernesto Mordecki, Paavo Salminen. arXiv:1903.01457 [math.PR]

Charla en español con transparencias en inglés

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