Optimal stopping times for a class of Ito diffusion bridges

arXiv1909.02916MaRDI QIDQ6324805

Alessandro Ferriero, Bernardo D'auria

Publication date: 6 September 2019

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Auctions, bargaining, bidding and selling, and other market models (91B26)

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