On Wald Optimal Stopping Problem for Geometric Brownian Motions

DOI10.1080/07474940802446228zbMath1153.60340OpenAlexW2069739812MaRDI QIDQ3543506

Cloud Makasu

Publication date: 4 December 2008

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474940802446228

zbMATH Keywords

geometric Brownian motionssmooth-fit principleWald's identity

Mathematics Subject Classification ID

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

Related Items (1)

Bounds for a constrained optimal stopping problem

Cites Work

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