Optimal time to invest when the price processes are geometric Brownian motions

DOI10.1007/S007800050042zbMath0904.60030OpenAlexW1990728587MaRDI QIDQ1387770

Bernt Øksendal, Yaozhong Hu

Publication date: 18 January 1999

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050042

zbMATH Keywords

optimal stopping timestopping setcontinuation region

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

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