An optimal stopping problem for a geometric Brownian motion with Poissonian jumps
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Publication:596911
DOI10.1016/S0895-7177(03)90141-5zbMath1049.60032MaRDI QIDQ596911
Publication date: 6 August 2004
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Optimal stoppingExpected discounted terminal rewardGeometric Brownian motionPoisson jump processSmooth pasting
Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
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