Gapeev, Pavel V. (contributor) - 2006
with the process X that solves the stochastic differential equation
(2.1) driven by a compound Poisson process with … a solution of the optimal stopping problem (2.3) for the defined in (2.1)-(2.2) jump
process (X;S). We also remark that … of
the process (X;S). In Section 3, we present a solution to the free-boundary problem and derive
(first-order) nonlinear …