Optimal Stopping Problems in Diffusion-Type Models with Running Maxima and Drawdowns (Q2923437)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Stopping Problems in Diffusion-Type Models with Running Maxima and Drawdowns |
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Optimal Stopping Problems in Diffusion-Type Models with Running Maxima and Drawdowns (English)
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15 October 2014
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multidimensional optimal stopping problem
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diffusion-type models
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Brownian motion
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running maximum drawdown process
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free-boundary problem
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normal reflection
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perpetual American options
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