Optimal stopping for Brownian motion with applications to sequential analysis and option pricing (Q1763432)
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scientific article; zbMATH DE number 2136301
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| English | Optimal stopping for Brownian motion with applications to sequential analysis and option pricing |
scientific article; zbMATH DE number 2136301 |
Statements
Optimal stopping for Brownian motion with applications to sequential analysis and option pricing (English)
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22 February 2005
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Heat equation
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Free boundary problems
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Bayes sequential tests
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Multi-armed bandits
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European and American options
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Singular stochastic control
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0.7942187786102295
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0.7863552570343018
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0.7830612659454346
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0.7828925251960754
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