4 papers
Explicit Solutions for Optimal Stopping of Linear Diffusion and its Maximum
Masahiko Egami, Tadao Oryu
We provide, in a general setting, explicit solutions for optimal stopping problems that involve diffusion process and its running maximum. Our approach is to use the excursion theo…
Explicit Solutions for Optimal Stopping of Maximum Process with Absorbing Boundary that Varies with It
Masahiko Egami, Tadao Oryu
We provide, in a general setting, explicit solutions for optimal stopping problems that involve a diffusion process and its running maximum. Besides, a new feature includes absorbi…
An Excursion-Theoretic Approach to Regulator's Bank Reorganization Problem
Masahiko Egami, Tadao Oryu
The importance of the global financial system cannot be exaggerated. When a large financial institution becomes problematic and is bailed out, that bank is often claimed as "too bi…
Optimal Stopping When the Absorbing Boundary is Following After
Masahiko Egami, Tadao Oryu
We consider a new type of optimal stopping problems where the absorbing boundary moves as the state process X attains new maxima S. More specifically, we set the absorbing boundary…