Probability Seminar: Abel Guada Azze - Optimally Stopping a Gauss-Markov process with random terminal value
| Dates: | 26 March 2025 |
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| Times: | 15:00 - 16:00 |
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| What is it: | Seminar |
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| Organiser: | Department of Mathematics |
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Abel Guada Azze (CUNEF Universidad) will speak at the Probability seminar.
Title: Optimally Stopping a Gauss-Markov process with random terminal value
Abstract: Optimal stopping problems seek to identify the "best strategy" for stopping a stochastic process to claim an expected reward. Their applications are ubiquitous, ranging from pricing American-style options in mathematical finance to addressing sequential hypothesis testing and quickest detection in statistics. Nevertheless, the trade-off between tractability and practical utility of the model is particularly acute in these problems, leaving only a few cases admitting semi-explicit solutions.
In this work, we depart from the classical assumptions of time-homogeneity and Lipschitz continuity of the coefficients. We characterize the optimal stopping solution for Gauss-Markov processes via a Volterra integral equation. Furthermore, we investigate the solution’s behavior when the terminal values of these processes are constrained to follow a prescribed distribution, including the degenerate case.
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