Solving non–linear optimal stopping problems by the method of time–change (Q4518329)
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scientific article; zbMATH DE number 1533066
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| English | Solving non–linear optimal stopping problems by the method of time–change |
scientific article; zbMATH DE number 1533066 |
Statements
Solving non–linear optimal stopping problems by the method of time–change (English)
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6 February 2001
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nonlinear stopping problem
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diffusion
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time change
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Brownian motion
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Ornstein-Uhlenbeck process
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Bessel process
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free-boundary problem
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smooth fit principle
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0.7894647717475891
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0.7809200882911682
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0.778485894203186
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0.7688561081886292
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