Diffusion transformations, Black-Scholes equation and optimal stopping

DOI10.1214/18-AAP1385zbMath1402.60098arXiv1701.01085OpenAlexW2963481861MaRDI QIDQ1617159

Umut Çetin

Publication date: 7 November 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.01085

zbMATH Keywords

optimal stoppinglocal timepotential operatorslinear diffusionsfinancial bubblesh-transformstrict local martingalesnonuniqueness of the Cauchy problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Financial applications of other theories (91G80) Local time and additive functionals (60J55)

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Uniqueness in Cauchy problems for diffusive real-valued strict local martingales, On the Feller-Dynkin and the martingale property of one-dimensional diffusions, Minimal subharmonic functions and related integral representations, On Pricing Rules and Optimal Strategies in General Kyle--Back Models, Change of drift in one-dimensional diffusions

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