An Optimal Stopping Problem for Jump Diffusion Logistic Population Model. (9th August 2016)

• Record Type: Journal Article
• Authors: Sun, Yang; Ai, Xiaohui
• Other Names: Bahlali Khaled Academic Editor.
• Is Part Of: Mathematical problems in engineering. Volume 2016(2016)
• Publication Date: 2016-08-09
• Subjects: Engineering mathematics -- Periodicals; 510.2462
• DOI: 10.1155/2016/5839672
• Languages: English
• ISSNs: 1024-123X

Abstract

Abstract : This paper examines an optimal stopping problem for the stochastic (Wiener-Poisson) jump diffusion logistic population model. We present an explicit solution to an optimal stopping problem of the stochastic (Wiener-Poisson) jump diffusion logistic population model by applying the smooth pasting technique (Dayanik and Karatzas, 2003; Dixit, 1993). We formulate this as an optimal stopping problem of maximizing the expected reward. We express the critical state of the optimal stopping region and the optimal value function explicitly.