Explicit solutions to some optimal variance stopping problems

DOI10.1080/17442508.2010.529142MaRDI QIDQ3108377zbMATH OpenOpenAlexFDO

Authors Jesper Lund Pedersen

Publication date 3 January 2012

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2010.529142

zbMATH Keywords

geometric Brownian motionvariance criterionsquare-root processJacobi diffusionquadratic optimal stoppingvariance stopping for a given mean

Mathematics Subject Classification ID

Quadratic programming (90C20) Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 3607222 (Why is no real title available?)
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Cited in

(14)

• Optimal mean-variance selling strategies
• Optimal stopping for image smoothing based on kernel density estimation
• On time-inconsistent stopping problems and mixed strategy stopping times
• Some optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock index
• Time-inconsistent mean-field optimal stopping: a limit approach
• Dynamic optimality in optimal variance stopping problems
• A variational approach to optimal stopping problems for diffusion processes
• Constrained maximum variance stopping for a finite horizon increasing random walk
• Variance optimal stopping for geometric Lévy processes
• Optimal variance stopping with linear diffusions
• An exactly solvable multiple stochastic optimal stopping problem
• A remark on optimal variance stopping problems
• Variability is beneficial in marked stopping problems
• Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application

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