Given an initial (resp., terminal) probability measure μ (resp., ν) on Rd, we characterize those optimal stopping times τ that maximize or minimize the functional E|B0−Bτ|α, α>0, where (Bt)t is Brownian motion with initial law B0∼μ and with final distribution --once stopped at τ-- equal to Bτ∼ν. The existence of such stopping times is guaranteed by Skorohod-type embeddings of probability measures in "subharmoic order" into Brownian motion. This problem is equivalent to an optimal mass transport problem with certain constraints, namely the optimal subharmonic martingale transport. Under the assumption of radial symmetry on μ and ν, we show that the optimal stopping time is a hitting time of a suitable barrier, hence is non-randomized and...
be a standard Brownian motion started at zero, let > 0 be given and fixed, and let G: [0; 1]IR! I...
In the first part of this thesis, we study the structure of solutions to the optimal martingale tran...
Abstract A type of optimal investment problem can be regarded as an optimal stopping problem in the ...
Given an initial (resp., terminal) probability measure μ (resp., ν) on Rd, we characterize those opt...
We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a “...
AbstractLetB=(Bt)t≥0be a Brownian motion started atx∈R. Given a stopping time τ forBand a real value...
In this work, a class of stopping times for one-dimensional Brownian motion is examined--one which m...
We present closed-form solutions to some double optimal stopping problems with payoffs representing ...
We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale...
Abstract. The Skorokhod embedding problem is to represent a given probability as the distribution of...
This thesis deals with the explicit solution of optimal stopping problems with infinite time horizon...
In this thesis, first we briefly outline the general theory surrounding optimal stopping problems wi...
We provide a new probabilistic proof of the connection between Rost’s solution of the Skorokhod embe...
AbstractMotivated by applications in option pricing theory (Peskir, 1997b), (Research Report No. 386...
We develop a class of pathwise inequalities of the form $H(B_t)\ge M_t+F(L_t)$, where $B_t$ is Brown...
be a standard Brownian motion started at zero, let > 0 be given and fixed, and let G: [0; 1]IR! I...
In the first part of this thesis, we study the structure of solutions to the optimal martingale tran...
Abstract A type of optimal investment problem can be regarded as an optimal stopping problem in the ...
Given an initial (resp., terminal) probability measure μ (resp., ν) on Rd, we characterize those opt...
We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a “...
AbstractLetB=(Bt)t≥0be a Brownian motion started atx∈R. Given a stopping time τ forBand a real value...
In this work, a class of stopping times for one-dimensional Brownian motion is examined--one which m...
We present closed-form solutions to some double optimal stopping problems with payoffs representing ...
We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale...
Abstract. The Skorokhod embedding problem is to represent a given probability as the distribution of...
This thesis deals with the explicit solution of optimal stopping problems with infinite time horizon...
In this thesis, first we briefly outline the general theory surrounding optimal stopping problems wi...
We provide a new probabilistic proof of the connection between Rost’s solution of the Skorokhod embe...
AbstractMotivated by applications in option pricing theory (Peskir, 1997b), (Research Report No. 386...
We develop a class of pathwise inequalities of the form $H(B_t)\ge M_t+F(L_t)$, where $B_t$ is Brown...
be a standard Brownian motion started at zero, let > 0 be given and fixed, and let G: [0; 1]IR! I...
In the first part of this thesis, we study the structure of solutions to the optimal martingale tran...
Abstract A type of optimal investment problem can be regarded as an optimal stopping problem in the ...