科学研究
报告题目:

The Optimal stopping problems of Markov processes and American Options

报告人:

Prof.Yongjin Wang(Department of Mathematics, Nankai University)

报告时间:

报告地点:

理学院东北楼一楼报告厅(110)

报告摘要:

The Optimal Stopping Problems based on Markov processes have aroused much more attentions due to their applications in a wider range of areas. Here, we will begin with a concrete diffusion process, and a new strategy is adopted for solving the problems. First we will explicitly compute some typical hitting times of the diffusion process. Then the Markov processes potential analysis theories could help us to further get the optimal stopping problem solution in a close form, for the infinite horizon case. Also this method can be developed for the finite horizon case, in some sense.