Name
Abstract | ||
|---|---|---|
. Let , , be geometric Brownian motions, possibly correlated. We study the optimal stopping problem: Find a stopping time such that the being taken all over all finite stopping times , and denotes the expectation when . For this problem was solved by McDonald and Siegel, but they did not state the precise conditions for their result. We give a
new proof of their solution for using variational inequalities and we solve the -dimensional case when the parameters satisfy certain (additional) conditions. |
Year | DOI | Venue |
|---|---|---|
1998 | 10.1007/s007800050042 | Finance and Stochastics |
Keywords | Field | DocType |
optimal stopping time,key words: geometric brownian motion,stopping set,continuation region,optimal stopping problem,satisfiability,geometric brownian motion,stopping time,variational inequality | Mathematical optimization,Optional stopping theorem,Optimal stopping,Stopping set,Optimal stopping time,Brownian motion,Stopping time,Geometric Brownian motion,Mathematics | Journal |
Volume | Issue | Citations |
2 | 3 | 7 |
PageRank | References | Authors |
1.84 | 0 | 2 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Yaozhong Hu | 1 | 27 | 8.83 |
| Bernt Oksendal | 2 | 89 | 15.84 |