Optimal stopping in a large financial network model


We shall consider and characterize an optimal stopping problem of a nonlinear diffusion for a node directly coupled with a neighboring node and the empirical measure of the nodes in a large financial network. We start with a... [ view full abstract ]


  1. Nils Detering (University of California, Santa Barbara)
  2. Jean-Pierre Fouque (University of California, Santa Barbara)
  3. Tomoyuki Ichiba (University of California, Santa Barbara)

Topic Areas

Optimal Stopping , Stochastic Analysis


TU-A-SY » Optimal Stopping (11:30 - Tuesday, 17th July, Synge)

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