Optimal Stopping of Branching Diffusion Processes
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866916543974080512 |
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| author | Kharroubi, Idris Ocello, Antonio |
| author_facet | Kharroubi, Idris Ocello, Antonio |
| contents | This article explores an optimal stopping problem for branching diffusion processes. It consists in looking for optimal stopping lines, a type of stopping time that maintains the branching structure of the processes under analysis. By using a dynamic programming approach, we characterize the value function for a multiplicative cost, which may depend on the particle's label. We reduce the problem's dimensionality by setting a branching property and defining the problem in a finite-dimensional context. Within this framework, we focus on the value function, establishing uniform continuity and boundedness properties, together with an innovative dynamic programming principle. This outcome leads to an analytical characterization with the help of a nonlinear elliptic PDE. We conclude by showing that the value function serves as the unique viscosity solution for this PDE, generalizing the comparison principle to this setting. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2401_12811 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Optimal Stopping of Branching Diffusion Processes Kharroubi, Idris Ocello, Antonio Probability 60G40, 60J80, 35J60, 49L20, 49L25 This article explores an optimal stopping problem for branching diffusion processes. It consists in looking for optimal stopping lines, a type of stopping time that maintains the branching structure of the processes under analysis. By using a dynamic programming approach, we characterize the value function for a multiplicative cost, which may depend on the particle's label. We reduce the problem's dimensionality by setting a branching property and defining the problem in a finite-dimensional context. Within this framework, we focus on the value function, establishing uniform continuity and boundedness properties, together with an innovative dynamic programming principle. This outcome leads to an analytical characterization with the help of a nonlinear elliptic PDE. We conclude by showing that the value function serves as the unique viscosity solution for this PDE, generalizing the comparison principle to this setting. |
| title | Optimal Stopping of Branching Diffusion Processes |
| topic | Probability 60G40, 60J80, 35J60, 49L20, 49L25 |
| url | https://arxiv.org/abs/2401.12811 |