Optimal Stopping in Fuzzy Stochastic Processes and its Application to Option Pricing in Financial Engineering

  • Yuji Yoshida
Conference paper
Part of the Advances in Intelligent and Soft Computing book series (AINSC, volume 16)


An optimal stopping problem is discussed in a continuous-time process defined by fuzzy random variables. Fuzzy random variables are evaluated by both probabilistic expectation and fuzzy expectation defined by a possibility measure. An optimality equation and an optimal stopping time are given for the process. A numerical example is also given to apply it to a financial model.


Fuzzy Number Option Price Optimality Equation Fuzzy Goal Fuzzy Random Variable 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2002

Authors and Affiliations

  • Yuji Yoshida
    • 1
  1. 1.The University of KitakyushuKokuraminami, KitakyushuJapan

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