On an Optimal Stopping Problem of an Insider

DOI10.1137/S0040585X97T98806XzbMath1386.60153arXiv1301.3100OpenAlexW3123611690MaRDI QIDQ2967984

Zhou Zhou, Erhan Bayraktar

Publication date: 9 March 2017

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.3100

zbMATH Keywords

Lévy's modulus of continuity for Brownian motionoptimal stopping problem of an insider

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (3)

What if we knew what the future brings? Optimal investment for a frontrunner with price impact ⋮ The value of foresight ⋮ Stochastic Control with Delayed Information and Related Nonlinear Master Equation

Cites Work

• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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