An optimal stopping problem in the stochastic Gilpin-Ayala population model

被引：0
|
作者：
Xiaohui Ai
Yang Sun
机构：
[1] Harbin Institute of Technology,Department of Mathematics
[2] School of Applied Science,undefined
[3] Harbin University of Science and Technology,undefined
来源：
Advances in Difference Equations | / 2012卷
关键词：
optimal stopping time; stochastic Gilpin-Ayala population model; smooth pasting technique;
D O I：
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学科分类号：
摘要：
We present an explicit solution to an optimal stopping problem of the stochastic Gilpin-Ayala population model by applying the smooth pasting technique (Dixit in The Art of Smooth Pasting, 1993 and Dixit and Pindyck in Investment under Uncertainty, 1994). The optimal stopping rule is to find an optimal stopping time and an optimal stopping boundary of maximizing the expected discounted reward, which are given in this paper explicitly.
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