A note on explicit bounds for a stopped Feynman-Kac functional

DOI10.1016/J.SPL.2010.09.001zbMATH Open1489.60064OpenAlexW2025875345MaRDI QIDQ613194FDOQ613194

Authors: Cloud Makasu 

Publication date: 20 December 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.09.001

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zbMATH Keywords

geometric Brownian motionsoptimal stopping inequality

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Optimal time to invest when the price processes are geometric Brownian motions

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