DOI10.1016/j.chaos.2011.09.005zbMath1273.60048MaRDI QIDQ2393222
Raouf Ghomrasni
Publication date: 7 August 2013 Published in: Chaos, Solitons and Fractals (Search for Journal in Brave) Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0960077911001780
zbMATH Keywords
Ornstein-Uhlenbeck process; geometric Brownian motion; bidimensional process
Mathematics Subject Classification ID
60G40: Stopping times; optimal stopping problems; gambling theory
60J40: Right processes
Cites Work