Optimal stopping with advanced information flow: selected examples

MaRDI QIDQ3534749zbMATH OpenFDO

Authors Yaozhong Hu, B. Øksendal

Publication date 4 November 2008

zbMATH Keywords

\(\delta\)-advanced informationforward integralMalliavin calculusoptimal stopping

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cited in

(3)

• The value of foresight
• Optimal stopping with information constraint
• Optimal stopping, randomized stopping, and singular control with general information flow

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