Discounted optimal stopping problems for the maximum process

DOI10.1239/JAP/1014843077MaRDI QIDQ2725294zbMATH OpenOpenAlexFDO

Authors Jesper Lund Pedersen

Publication date 12 July 2001

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

Full work available at URL https://semanticscholar.org/paper/32ba7894ac43c7b3f00ea4218d76c4d3493ee5a9

zbMATH Keywords

Bessel processBlack-Scholes modeldiffusionfree boundary problemgeometric Brownian motioninfinitesimal operatorlookback optionmaximality principleprinciple of smooth fitreflected Brownian motionvalue function

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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