Timing in the presence of directional predictability: optimal stopping of skew Brownian motion
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Publication:1683945
DOI10.1007/s00186-017-0602-4zbMath1386.60279arXiv1608.04537OpenAlexW2964281321MaRDI QIDQ1683945
Luis H. R. Alvarez E., Paavo H. Salminen
Publication date: 1 December 2017
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1608.04537
Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
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