Recursive Optimal Stopping with Poisson Stopping Constraints

Autor:	Liang, Gechun, Wei, Wei, Wu, Zhen, Xu, Zhenda
Rok vydání:	2024
Předmět:	Mathematics - Optimization and Control Quantitative Finance - Mathematical Finance 60H10 60G40 93E20
Druh dokumentu:	Working Paper
Popis:	This paper solves a recursive optimal stopping problem with Poisson stopping constraints using the penalized backward stochastic differential equation (PBSDE) with jumps. Stopping in this problem is only allowed at Poisson random intervention times, and jumps play a significant role not only through the stopping times but also in the recursive objective functional and model coefficients. To solve the problem, we propose a decomposition method based on Jacod-Pham that allows us to separate the problem into a series of sub-problems between each pair of consecutive Poisson stopping times. To represent the value function of the recursive optimal stopping problem when the initial time falls between two consecutive Poisson stopping times and the generator is concave/convex, we leverage the comparison theorem of BSDEs with jumps. We then apply the representation result to American option pricing in a nonlinear market with Poisson stopping constraints. Comment: 27 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2407.17975 Zobrazit plný text záznamu View this record from Arxiv