On predicting the maximum of a semimartingale and the optimal moment to sell a stock
DOI10.1134/S000511791507005XzbMATH Open1320.93091OpenAlexW2411693492MaRDI QIDQ500285FDOQ500285
Authors: Roman Ivanov 
Publication date: 2 October 2015
Published in: Automation and Remote Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s000511791507005x
Recommendations
Portfolio theory (91G10) Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
Cites Work
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- On the Heston model with stochastic interest rates
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- Detecting the maximum of a scalar diffusion with negative drift
- On duality principle for hedging strategies in diffusion models
Cited In (3)
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