Optimal Stopping Problems for Asset Management

DOI10.1239/aap/1346955259zbMath1262.91123OpenAlexW2065651675MaRDI QIDQ3167333

Savas Dayanik, Masahiko Egami

Publication date: 2 November 2012

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1346955259

zbMATH Keywords

optimal stoppingjump diffusionasset management

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

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