Stopping Times for Fractional Brownian Motion

Alexander V. Kulikov () and Pavel P. Gusyatnikov ()
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Alexander V. Kulikov: Moscow Institute of Physics and Technology
Pavel P. Gusyatnikov: Moscow Institute of Physics and Technology
Authors registered in the RePEc Author Service: Alexander Kulkov ()

A chapter in Computational Management Science, 2016, pp 195-200 from Springer

Abstract: Abstract In this article we consider an optimal stopping problem for the process of fractional Brownian motion. We prove that this problem for fractional Brownian motion has non trivial solution. We will describe a class of natural stopping times which compares increments of the process with a drift. We will show an example of non optimality of this class and consider a more complex class of stopping times which can be optimal.

Keywords: Fractional Brownian Motion; Natural Stopping Time; Optimal Stopping Problem; Modern Mathematical Finance; Guasoni (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-319-20430-7_25

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DOI: 10.1007/978-3-319-20430-7_25

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