A capped optimal stopping problem for the maximum process
From MaRDI portal
Publication:2439470
DOI10.1007/s10440-013-9833-4zbMath1312.60046arXiv1204.3119MaRDI QIDQ2439470
Andreas E. Kyprianou, Curdin Ott
Publication date: 14 March 2014
Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1204.3119
60G51: Processes with independent increments; Lévy processes
60G40: Stopping times; optimal stopping problems; gambling theory
91G80: Financial applications of other theories
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