2006-10-24Buch DOI: 10.18452/4004
Multiple Disorder Problems for Wiener and Compound Poisson Processes With Exponential Jumps
Gapeev, Pavel V.
The multiple disorder problem consists of finding a sequence of stoppingtimes which are as close as possible to the (unknown) times of ``disorder´´when the distribution of an observed process changes its probability characteristics.We present a formulation and solution of the multiple disorder problem for a Wiener and a compound Poisson process with exponentialjumps. The method of proof is based on reducing the initial optimalswitching problems to the corresponding coupled optimal stopping problemsand solving the equivalent coupled free-boundary problems by meansof the smooth- and continuous-fit conditions.
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Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 74, SFB 649 Papers, ISSN:1860-5664