A useful extension of Itô's formula with applications to optimal stopping

DOI10.1007/S10114-004-0524-YMaRDI QIDQ2581206zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

American put optionBrownian motioncontinuous semimartingalegeometric Brownian motionmultidimensional Itô formulasmooth fit principle

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integrals (60H05)

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Cites work

• A model for stock price fluctuations based on information
• An explicit solution to an optimal stopping problem with regime switching
• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• Maß- und Integrationstheorie.
• Some optimal stopping problems with nontrivial boundaries for pricing exotic options
• The Russian option: Reduced regret

Cited in

(9)

• On the robustness of learning in games with stochastically perturbed payoff observations
• Iterative construction of the optimal Bermudan stopping time
• A simple proof of functional Itô's lemma for semimartingales with an application
• Asset management with endogenous withdrawals under a drawdown constraint
• scientific article; zbMATH DE number 2227484 (Why is no real title available?)
• A change of variable formula with applications to multi-dimensional optimal stopping problems
• The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem
• A sharp upper bound for the expected interval occupation time of Brownian martingales
• Two-player diffusion control games with private information

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