Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25157
Authors: 
Gapeev, Pavel V.
Year of Publication: 
2006
Series/Report no.: 
SFB 649 discussion paper 2006,074
Abstract: 
The multiple disorder problem consists of finding a sequence of stopping times which are as close as possible to the (unknown) times of 'disorder' when the distribution of an observed process changes its probability characteristics. We present a formulation and solution of the multiple disorder problem for a Wiener and a compound Poisson process with exponential jumps. The method of proof is based on reducing the initial optimal switching problems to the corresponding coupled optimal stopping problems and solving the equivalent coupled free-boundary problems by means of the smooth- and continuous-fit conditions.
Document Type: 
Working Paper

Files in This Item:
File
Size
532.76 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.