A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading
Keyword(s):
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 multidimensional 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.
2015 ◽
Vol 52
(4)
◽
pp. 926-940
◽
2015 ◽
Vol 52
(04)
◽
pp. 926-940
◽
Keyword(s):
2019 ◽
Vol 56
(4)
◽
pp. 981-1005
◽
Keyword(s):
Keyword(s):
2016 ◽
Vol 54
(2)
◽
pp. 131-147
Keyword(s):