Asymptotics of the boundaries in one non-linear optimal stopping problem

DOI10.1070/RM9912zbMATH Open1445.62209OpenAlexW3018016927MaRDI QIDQ3305705FDOQ3305705

Authors: Alekseĭ A. Muravlev 

Publication date: 10 August 2020

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/rm9912

zbMATH Keywords

nonlinear optimal stopping problem

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

Cites Work

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• Bayesian sequential estimation of a drift of fractional Brownian motion
• Methods of sequential hypothesis testing for the drift of a fractional Brownian motion
• An asymptotic expansion for the optimal stopping boundary in problems with nonlinear costs of observation
• On a transformation of the measure of a Brownian motion with drift and Girsanov's theorem
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