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Probability Seminar: Abel Guada Azze - Optimally Stopping a Gauss-Markov process with random terminal value

Dates:26 March 2025
Times:15:00 - 16:00
What is it:Seminar
Organiser:Department of Mathematics
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  • In group "(Maths) Probability and statistics"
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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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Jose Pedraza Ramirez

jose.pedrazaramirez@manchester.ac.uk

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