Universiteit Utrecht

Department of Mathematics


Abstract


Free-Boundary Problems and Local Time on Curves
Goran Peskir (Aarhus), February 26, 2003

I will discuss a solution method for free-boundary problems of optimal stopping with finite horizon. The key step of the method is based upon a change-of-variable formula with local time on curves.

When specialized to the American put problem, this settles the question of Myneni (1992) [dating back to McKean (1965)].


Back to the history of the seminar or the Colloquium Stochastiek homepage.
Martijn Pistorius (pistorius@math.uu.nl)