Optimal stopping of the maximum process: a converse to the results of Peskir

DOI10.1080/17442500601111429zbMath1128.60029OpenAlexW2135012046MaRDI QIDQ3429334

David G. Hobson

Publication date: 30 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500601111429

zbMATH Keywords

optimal stoppingBrownian motionexcursion theorySkorokhod embedding problem

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)

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Cites Work

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• Optimal stopping of the maximum process: The maximality principle
• Designing options given the risk: The optimal Skorokhod-embedding problem
• The Azéma-Yor embedding in non-singular diffusions.
• An optimal Skorokhod embedding for diffusions
• A Guided Tour through Excursions

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