Add to ORKGbe a standard Brownian motion started at zero, let > 0 be given and fixed, and let G: [0; 1]IR! IR be a measurable function. Consider the optimal stopping problem: V = su
This thesis deals with the explicit solution of optimal stopping problems with infinite time horizon...
Abstract. We study several optimal stopping problems in which the gains process is a Brownian bridge...
AbstractAssume ϕ is a convex fonction, L is the local time at 0 of a Brownian motion B, started at 0...
AbstractLetB=(Bt)t≥0be a Brownian motion started atx∈R. Given a stopping time τ forBand a real value...
10.1016/j.jspi.2003.09.042Journal of Statistical Planning and Inference1301-221-47JSPI
We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a “...
Abstract A type of optimal investment problem can be regarded as an optimal stopping problem in the ...
We present closed-form solutions to some double optimal stopping problems with payoffs representing ...
Given an initial (resp., terminal) probability measure μ (resp., ν) on Rd, we characterize those opt...
Abstract. Optimal stopping of stochastic processes having both absolutely continuous and singular be...
International audienceOne way to compute the value function of an optimal stopping problem along Bro...
Some non-linear optimal stopping problems can be solved explicitly by using a common method which is...
Peskir, (and also Meilijson and Obloj) considered the following optimal stopping problem: find, for ...
In this thesis, first we briefly outline the general theory surrounding optimal stopping problems wi...
We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale...
This thesis deals with the explicit solution of optimal stopping problems with infinite time horizon...
Abstract. We study several optimal stopping problems in which the gains process is a Brownian bridge...
AbstractAssume ϕ is a convex fonction, L is the local time at 0 of a Brownian motion B, started at 0...
AbstractLetB=(Bt)t≥0be a Brownian motion started atx∈R. Given a stopping time τ forBand a real value...
10.1016/j.jspi.2003.09.042Journal of Statistical Planning and Inference1301-221-47JSPI
We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a “...
Abstract A type of optimal investment problem can be regarded as an optimal stopping problem in the ...
We present closed-form solutions to some double optimal stopping problems with payoffs representing ...
Given an initial (resp., terminal) probability measure μ (resp., ν) on Rd, we characterize those opt...
Abstract. Optimal stopping of stochastic processes having both absolutely continuous and singular be...
International audienceOne way to compute the value function of an optimal stopping problem along Bro...
Some non-linear optimal stopping problems can be solved explicitly by using a common method which is...
Peskir, (and also Meilijson and Obloj) considered the following optimal stopping problem: find, for ...
In this thesis, first we briefly outline the general theory surrounding optimal stopping problems wi...
We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale...
This thesis deals with the explicit solution of optimal stopping problems with infinite time horizon...
Abstract. We study several optimal stopping problems in which the gains process is a Brownian bridge...
AbstractAssume ϕ is a convex fonction, L is the local time at 0 of a Brownian motion B, started at 0...