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DTSTART;TZID=America/Chicago:20250611T143000
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DTSTAMP:20260614T173423
CREATED:20250604T182125Z
LAST-MODIFIED:20250604T182125Z
UID:10016229-1749652200-1749659400@uwm.edu
SUMMARY:PhD Dissertation Defense: Mr. Steffen Domke
DESCRIPTION:Convergence Of A Numerical Scheme For Optimal Stopping Of A Diffusion Over A Finite Time-Horizon\nMr. Steffen Domke\nGraduate Student\nUniversity of Wisconsin-Milwaukee \nThis dissertation establishes an approximation scheme for finite time-horizon\nstopping problems involving a singular stochastic process on a compact state\nspace\, characterized by a singular martingale problem. The stopping problem\nis converted to a linear program (LP) with infinitely many constraints and\nvariables having infinite degrees of freedom. \nTo obtain a numerical solution\, the infinite-dimensional LP is converted\ninto a finite LP. The original LP is approximated by a sequence of finite LPs\,\nlimiting to both a finite set of constraints and a finite-dimensional solution\nspace. The value of an optimal approximate solution is shown to be arbitrarily\nclose to the optimal value of original LP\, and hence of the stopping probem\,\nwith increasing refinement of the approximation. Feasibility of the approximate\nsolutions is guaranteed due weak convergence of measures\, but only in the limit.\nThe problem of pricing an American floating strike lookback call option can be\nreformulated to fit the models covered by this dissertation. The price and the\nstopping boundary can therefore be approximated using this scheme. \nAdvisor:\nRichard Stockbridge \nCommittee Members:\nDavid Spade\, Lei Wang\, Jeb Willenbring\, and Chao Zhu
URL:https://uwm.edu/math/event/phd-dissertation-defense-mr-steffen-domke/
LOCATION:EMS Building\, Room W434\, W434; 3200 N Cramer St.\, Milwaukee\, WI\, 53211\, United States
CATEGORIES:Graduate Student Defenses
ORGANIZER;CN="The Department of Mathematical Sciences":MAILTO:math-staff@uwm.edu
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