一类谱负跳跃扩散的可解最优停时问题
A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions
摘要：
研究了一类谱负跳跃扩散的最优停时。我们陈述了一组条件，在这些条件下，该值被证明是在一个普通的非线性规划问题方面有一个表示。我们建立一个所考虑的问题和相关的连续扩散过程的停止问题之间的连接，并演示如何将这种连接可以应用于表征停止政策及其价值。我们还建立了一组典型的满足条件下，增加的波动性，以及更高的跳跃强度减速理性的行使增加的价值和扩大的连续区域。
英文摘要：
We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of an ordinary nonlinear programming problem. We establish a connection between the considered problem and a stopping problem of an associated continuous diffusion process and demonstrate how this connection may be applied for characterizing the stopping policy and its value. We also establish a set of typically satisfied conditions under which increased volatility as well as higher jump-intensity decelerates rational exercise by increasing the value and expanding the continuation region.
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