Formulas for stopped diffusion processes with stopping times based on the maximum

DOI10.1214/aop/1176995770zbMath0367.60093OpenAlexW2021305902MaRDI QIDQ1242385

John P. Lehoczky

Publication date: 1977

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176995770

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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