Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/25157 
Autor:innen: 
Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2006,074
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
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.
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
532.76 kB





Publikationen in EconStor sind urheberrechtlich geschützt.