Optimal stopping problem in a model with compensated refusal of reward
DOI10.1134/S0001434611010299zbMATH Open1229.60052OpenAlexW1967986581MaRDI QIDQ650415FDOQ650415
Authors: Roman Ivanov 
Publication date: 25 November 2011
Published in: Mathematical Notes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s0001434611010299
Recommendations
stopping timeoptimal stopping problemexponential Brownian motiondominated convergencereward functionstandard American optionItô-Meyer formula
Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)
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