2019/05/07 by Katia Colaneri, Colaneri, Katia, Tiziano De Angelis +1
Decision Sciences · Economics, Econometrics and Finance · #Auction Theory and Applications #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1905.02650
openalex publication_date 2019/05/07 · openalex created_date 2022/07/29 · openalex updated_date 2026/07/28
In this paper we introduce and solve a class of optimal stopping problems of\nrecursive type. In particular, the stopping payoff depends directly on the\nvalue function of the problem itself. In a multi-dimensional Markovian setting\nwe show that the problem is well posed, in the sense that the value is indeed\nthe unique solution to a fixed point problem in a suitable space of continuous\nfunctions, and an optimal stopping time exists. We then apply our class of\nproblems to a model for stock trading in two different market venues and we\ndetermine the optimal stopping rule in that case.\n