Optimal Time to Exchange Two Baskets

DOI10.1239/jap/1300198133zbMath1213.60084OpenAlexW2047359202MaRDI QIDQ5391079

L. C. G. Rogers, Katsumasa Nishide

Publication date: 5 April 2011

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1300198133

zbMATH Keywords

convex hulloptimal stopping timecontinuation regionlog Brownian motion

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Related Items (7)

Value function and optimal rule on the optimal stopping problem for continuous-time Markov processes ⋮ Pareto Optimality in a Bicriterion Optimal Stopping Problem ⋮ Demand uncertainty, product differentiation, and entry timing under spatial competition ⋮ Multidimensional investment problem ⋮ The monotone case approach for the solution of certain multidimensional optimal stopping problems ⋮ On optimal stopping of multidimensional diffusions ⋮ Resolvent-techniques for multiple exercise problems

Cites Work

• On optimal timing of investment when cost components are additive and follow geometric diffusions
• Optimal time to invest when the price processes are geometric Brownian motions
• A harmonic function technique for the optimal stopping of diffusions

This page was built for publication: Optimal Time to Exchange Two Baskets