On the Principle of Smooth Fit for Killed Diffusions
نویسندگان
چکیده
منابع مشابه
Principle of Smooth Fit and Diffusions with Angles
is characterized by the fact that V ′(b) exists and is equal to G′(b) . Typically, no other point b̃ separating the candidate sets C̃ and D̃ will satisfy this identity, and most often V ′′(b) will either fail to exist or will not be equal to G′′(b) . These unique features of the smooth fit principle make it a powerful tool in solving specific problems of optimal stopping. The same is true in highe...
متن کاملSmooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes
Value functions of impulse control problems are known to satisfy Quasi-Variational Inequalities (QVI) (Bensoussan and Lions (1982)). This paper proves the smooth-fit C1 property of the value function for multi-dimensional controlled diffusions, using a viscosity solution approach. We show by examples how to exploit this regularity property to derive explicitly optimal policy and value function....
متن کامل“the effect of risk aversion on the demand for life insurance: the case of iranian life insurance market”
abstract: about 60% of total premium of insurance industry is pertained?to life policies in the world; while the life insurance total premium in iran is less than 6% of total premium in insurance industry in 2008 (sigma, no 3/2009). among the reasons that discourage the life insurance industry is the problem of adverse selection. adverse selection theory describes a situation where the inf...
15 صفحه اولExact Monte Carlo Simulation of Killed Diffusions
We describe and implement a novel methodology for Monte Carlo simulation of one-dimensional killed diffusions. The proposed estimators represent an unbiased and efficient alternative to current Monte Carlo estimators based on discretization methods for the cases when the finitedimensional distributions of the process are unknown. For barrier option pricing in finance, we design a suitable Monte...
متن کاملOn the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models
We consider a class of infinite-time horizon optimal stopping problems for spectrally negative Lévy processes. Focusing on strategies of threshold type, we write explicit expressions for the corresponding expected payoff via the scale function, and further pursue optimal candidate threshold levels. We obtain and show the equivalence of the continuous/smooth fit condition and the first-order con...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Electronic Communications in Probability
سال: 2010
ISSN: 1083-589X
DOI: 10.1214/ecp.v15-1531