A useful extension of Itô's formula with applications to optimal stopping
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Publication:2581206
DOI10.1007/S10114-004-0524-YzbMATH Open1081.60036OpenAlexW2052331756MaRDI QIDQ2581206FDOQ2581206
Authors: Gerold Alsmeyer, Markus Jaeger 
Publication date: 9 January 2006
Published in: Acta Mathematica Sinica, English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10114-004-0524-y
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Cites Work
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- The Russian option: Reduced regret
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- Maß- und Integrationstheorie.
- An explicit solution to an optimal stopping problem with regime switching
- A model for stock price fluctuations based on information
Cited In (7)
- A change of variable formula with applications to multi-dimensional optimal stopping problems
- Iterative construction of the optimal Bermudan stopping time
- The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem
- Title not available (Why is that?)
- On the robustness of learning in games with stochastically perturbed payoff observations
- A simple proof of functional Itô's lemma for semimartingales with an application
- Asset management with endogenous withdrawals under a drawdown constraint
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