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Research Seminar Series in Statistics and Mathematics

Wirtschaftsuniversität Wien , Departments 4 D4.4.008 09:00 - 10:30

Type Lecture / discussion
SpeakerKatia Colaneri (Faculty of Mathematics and Physical Sciences, University of Leeds)
Organizer Institut für Statistik und Mathematik

Katia Colaneri (Faculty of Mathematics and Physical Sciences, University of Leeds) about "A class of recursive optimal stopping problems with an application to stock trading"

The Institute for Statistics and Mathematics (Department of Finance, Accounting and Statistics) cordially invites everyone interested to attend the talks in our Research Seminar Series, where internationally renowned scholars from leading universities present and discuss their (working) papers.

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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.

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