Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
- Lai, T.L.
- Lim, T.W.
DOIAbstract
10.1016/j.jspi.2003.09.042Journal of Statistical Planning and Inference1301-221-47JSPI
10.1016/j.jspi.2003.09.042Journal of Statistical Planning and Inference1301-221-47JSPI
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Assuming that the stock price X follows a geometric Brownian motion with drift µ ∈ IR and volatility...
AbstractLetB=(Bt)t≥0be a Brownian motion started atx∈R. Given a stopping time τ forBand a real value...
AbstractThis paper studies bounded-velocity control of a Brownian motion when discretionary stopping...
Abstract. Optimal stopping of stochastic processes having both absolutely continuous and singular be...
This thesis considers several optimal stopping problems motivated by mathematical fi- nance, using t...
In this thesis, first we briefly outline the general theory surrounding optimal stopping problems wi...
International audienceOne way to compute the value function of an optimal stopping problem along Bro...
Abstract A type of optimal investment problem can be regarded as an optimal stopping problem in the ...
Some non-linear optimal stopping problems can be solved explicitly by using a common method which is...
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...
We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a “...
We study the optimal stopping problem proposed by Dupuis and Wang (Adv. Appl. Probab. 34:141–157, 20...
be a standard Brownian motion started at zero, let > 0 be given and fixed, and let G: [0; 1]IR! I...
Abstract. We study the optimal stopping problem proposed by Dupuis and Wang in [9]. In this maximiza...
Assuming that the stock price X follows a geometric Brownian motion with drift µ ∈ IR and volatility...
AbstractLetB=(Bt)t≥0be a Brownian motion started atx∈R. Given a stopping time τ forBand a real value...
AbstractThis paper studies bounded-velocity control of a Brownian motion when discretionary stopping...
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