Optimal stopping times for solutions of nonlinear stochastic differential equations and their application to one problem of financial mathematics

• Datum: 1999
• Hauptverfasser: Mishura, Yu. S., Oltsik, Ya. O., Мішура, Ю. С., Ольцік, Я. О.
• Format: Artikel
• Sprache: Ukrainisch; Englisch
• Veröffentlicht: Institute of Mathematics, NAS of Ukraine 1999
• Online Zugang: https://umj.imath.kiev.ua/index.php/umj/article/view/4667
• Назва журналу: Ukrains’kyi Matematychnyi Zhurnal

We solve the problem of finding the optimal switching time for two alternative strategies at the financial market in the case where a random processX t ,t ∈ [0, T], describing an investor's assets satisfies a nonlinear stochastic differential equation. We determine this switching time τ∈[0...