摘要翻译：
我们考虑了一类谱负跳跃扩散的最优停止。我们给出了一组条件，在此条件下，该值可以表示为一个普通的非线性规划问题。我们在所考虑的问题和相关的连续扩散过程的停止问题之间建立了联系，并证明了这种联系如何用于刻画停止策略及其值。我们还建立了一组典型的满足条件，在此条件下，随着波动性的增加和跳跃强度的提高，理性练习的速度会随着价值的增加和延拓区域的扩大而减慢。
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英文标题：
《A Class of Solvable Optimal Stopping Problems of Spectrally Negative
  Jump Diffusions》
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作者：
Luis H. R. Alvarez E., Pekka Matom\"aki, Teppo A. Rakkolainen
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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英文摘要：
  We consider the optimal stopping of a class of spectrally negative jump diffusions. We state a set of conditions under which the value is shown to have a representation in terms of an ordinary nonlinear programming problem. We establish a connection between the considered problem and a stopping problem of an associated continuous diffusion process and demonstrate how this connection may be applied for characterizing the stopping policy and its value. We also establish a set of typically satisfied conditions under which increased volatility as well as higher jump-intensity decelerates rational exercise by increasing the value and expanding the continuation region.
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PDF链接：
https://arxiv.org/pdf/1302.4181