Optimal stopping problem in a model with compensated refusal of reward

DOI10.1134/S0001434611010299zbMath1229.60052MaRDI QIDQ650415

Roman V. Ivanov

Publication date: 25 November 2011

Published in: Mathematical Notes (Search for Journal in Brave)

zbMATH Keywords

stopping time; optimal stopping problem; exponential Brownian motion; dominated convergence; Itô-Meyer formula; reward function; standard American option

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

91G80: Financial applications of other theories

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