A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading
成果类型：
Article; Early Access
署名作者：
Colaneri, Katia; De Angelis, Tiziano
署名单位：
University of Rome Tor Vergata; University of Turin; Collegio Carlo Alberto
刊物名称：
MATHEMATICS OF OPERATIONS RESEARCH
ISSN/ISSBN：
0364-765X
DOI：
10.1287/moor.2021.1190
发表日期：
2021
关键词：
摘要：
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.
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