{"paper":{"title":"Study of the Particular Solution of a Hamilton-Jacobi-Bellman Equation for a Jump-Diffusion Process","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.CA","authors_text":"Ana Prior, Cl\\'audia Nunes, Rita Pimentel","submitted_at":"2019-01-28T09:39:53Z","abstract_excerpt":"We present an analytic solution of a differential-difference equation that appears when one solves an optimal stopping time problem with state process following a jump-diffusion process.\n  This equation occurs in the context of real options and finance options, for instance, when one derives the optimal time to undertake a decision. Due to the jump process, the equation is not local in the boundary set. The solution that we present - which takes into account the geometry of the problem - is written in a backward form, and therefore its analysis (along with its implementation) is easy to follow"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1901.09572","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}