Arbeitspapier
Multiple disorder problems for Wiener and compound Poisson processes with exponential jumps
The multiple disorder problem consists of finding a sequence of stopping times which are as close as possible to the (unknown) times of 'disorder' when the distribution of an observed process changes its probability characteristics. We present a formulation and solution of the multiple disorder problem for a Wiener and a compound Poisson process with exponential jumps. The method of proof is based on reducing the initial optimal switching problems to the corresponding coupled optimal stopping problems and solving the equivalent coupled free-boundary problems by means of the smooth- and continuous-fit conditions.
- Language
-
Englisch
- Bibliographic citation
-
Series: SFB 649 Discussion Paper ; No. 2006,074
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
-
Gapeev, Pavel V.
- Event
-
Veröffentlichung
- (who)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
-
Berlin
- (when)
-
2006
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Gapeev, Pavel V.
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2006
Other Objects (12)
Multiple Disorder Problems for Wiener and Compound Poisson Processes With Exponential Jumps
Computation of compound distributions i: Aliasing errors and exponential tilting
Decompounding : an estimation problem for the compound poisson distribution
Decompounding : an estimation problem for the compound poisson distribution
Nonparametric estimation of the ruin probability in the classical compound poisson risk model
JUMP
Jump!!
The exponential rank of nonarchimedean exponential fields
Compound Ethnicity, Compound Identity
Exponential Equations
Exponential domination, exponential independence, and the clustering coefficient
Information jumps, liquidity jumps, and market efficiency
Multiple Disorder Problems for Wiener and Compound Poisson Processes With Exponential Jumps
Computation of compound distributions i: Aliasing errors and exponential tilting
Decompounding : an estimation problem for the compound poisson distribution
Decompounding : an estimation problem for the compound poisson distribution
Nonparametric estimation of the ruin probability in the classical compound poisson risk model
JUMP
Jump!!
The exponential rank of nonarchimedean exponential fields
Compound Ethnicity, Compound Identity
Exponential Equations
Exponential domination, exponential independence, and the clustering coefficient
Information jumps, liquidity jumps, and market efficiency
Multiple Disorder Problems for Wiener and Compound Poisson Processes With Exponential Jumps
Computation of compound distributions i: Aliasing errors and exponential tilting
Decompounding : an estimation problem for the compound poisson distribution
Decompounding : an estimation problem for the compound poisson distribution
Nonparametric estimation of the ruin probability in the classical compound poisson risk model
JUMP
Jump!!
The exponential rank of nonarchimedean exponential fields
Compound Ethnicity, Compound Identity
Exponential Equations
Exponential domination, exponential independence, and the clustering coefficient