An exactly solvable multiple stochastic optimal stopping problem

Advances in Difference Equations

卷:2018

Hidekazu Yoshioka¹ 

[1] Faculty of Life and Environmental Science, Shimane University;

关键词: Multiple optimal stopping;    Geometric Brownian motion;    Dynamic programming principle;    Variational inequality;   

DOI  :  10.1186/s13662-018-1626-7

来源: DOAJ

【 摘 要 】

Abstract A new kind of multiple stochastic optimal stopping problem is formulated and its associated recursive variational inequalities are derived. We show that these variational inequalities can be solved exactly in a cascading manner. The relevance of the present problem in analyzing animal migration, which is an ecologically important problem, is also briefly discussed.

【 授权许可】

Unknown