Jose Pedraza Ramirez - Optimal Stopping for Exponential Lévy Models with Weighted Discounting
| Dates: | 25 October 2023 |
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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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Jose Pedraza Ramirez (University of Manchester) will speak at the Probability seminar. (in-person)
In this talk, we consider an optimal stopping problem with weighted discounting, and the state process is modelled by a general exponential Lévy process. Due to the time inconsistency, we provide a new martingale method based on a verification theorem for the equilibrium stopping strategies. As an application, we generalise an investment problem with non-exponential discounting studied by Grenadier and Wang (2007) and Ebert et al. (2020) to Lévy models. Closed-form equilibrium stopping strategies are derived, which are closely related to the running maximum of the state process. The impacts of discounting preferences on the equilibrium stopping strategies are examined analytically.
Travel and Contact Information
Find event
Max Newman Room G.107
Alan Turing Building
Manchester
