A useful extension of Itô's formula with applications to optimal stopping (Q2581206)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A useful extension of Itô's formula with applications to optimal stopping |
scientific article |
Statements
A useful extension of Itô's formula with applications to optimal stopping (English)
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9 January 2006
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multidimensional Itô formula
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continuous semimartingale
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Brownian motion
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geometric Brownian motion
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smooth fit principle
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American put option
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