1. An Optimal Stopping Problem for Jump Diffusion Logistic Population Model.
- Author
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Sun, Yang and Ai, Xiaohui
- Subjects
- *
OPTIMAL stopping (Mathematical statistics) , *STOCHASTIC processes , *MATHEMATICAL functions , *MATHEMATICAL statistics , *MATHEMATICAL analysis - Abstract
This paper examines an optimal stopping problem for the stochastic (Wiener-Poisson) jump diffusion logistic population model. We present an explicit solution to an optimal stopping problem of the stochastic (Wiener-Poisson) jump diffusion logistic population model by applying the smooth pasting technique (Dayanik and Karatzas, 2003; Dixit, 1993). We formulate this as an optimal stopping problem of maximizing the expected reward. We express the critical state of the optimal stopping region and the optimal value function explicitly. [ABSTRACT FROM AUTHOR]
- Published
- 2016
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