Optimal stopping via measure transformation: the Beibel–Lerche approach

DOI10.1080/17442500601075780MaRDI QIDQ3429345zbMATH OpenOpenAlexFDO

Authors Hans Rudolf Lerche, Mikhail Urusov

Publication date 30 March 2007

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500601075780

zbMATH Keywords

disruption problemlookback optionoptimal stoppingrepeated significance testRussian optionthe B-L approach

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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Cites work

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Cited in

(11)

• Diffusion transformations, Black-Scholes equation and optimal stopping
• Optimal stopping with random exercise lag
• The monotone case approach for the solution of certain multidimensional optimal stopping problems
• Are American options European after all?
• Optimal stopping of one-dimensional diffusions with integral criteria
• A bilevel programming approach to double optimal stopping
• Examples of optimal stopping via measure transformation for processes with one-sided jumps
• scientific article; zbMATH DE number 4080679 (Why is no real title available?)
• On minimax duality in optimal stopping
• A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty
• A new integral equation for Brownian stopping problems with finite time horizon

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