Lade Veranstaltungen

« All Events

  • Diese Veranstaltung hat bereits stattgefunden.

A class of recursive optimal stopping problems with an application to stock trading

15. Mai 2019 um 10:00 - 12:00

Veranstaltungskategorie Vortrag |Foto: kasto/Fotolia.com

Veranstaltungsort
N.2.01

Veranstalter
Institut für Statistik


Beschreibung

In this paper we introduce and solve a class of optimal stopping problems of recursive type. In particular, the stopping payoff depends directly on the value function of the problem itself. In a multi-dimensional Markovian setting we show that the problem is well posed, in the sense that the value is indeed the unique solution to a fixed point problem in a suitable space of continuous functions, and an optimal stopping time exists. We then apply our class of problems to a model for stock trading in two different market venues and we determine the optimal stopping rule in that case. This is a joint work with Tiziano De Angelis.

Vortragende(r)
Dr. Katia Colaneri (University of Leeds)

Kontakt
Simone Gahleitner (simone.gahleitner [at] aau.at)

Details

Termine:
15. Mai 2019 um 10:00 - 12:00 Uhr
Veranstaltungskategorie:
zum Veranstaltungskalender