Optimal stopping problems in diffusion-type models with running maxima and drawdowns (Q2923437)
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scientific article; zbMATH DE number 6356261
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal stopping problems in diffusion-type models with running maxima and drawdowns |
scientific article; zbMATH DE number 6356261 |
Statements
15 October 2014
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multidimensional optimal stopping problem
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diffusion-type models
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Brownian motion
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running maximum drawdown process
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free-boundary problem
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normal reflection
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perpetual American options
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Optimal stopping problems in diffusion-type models with running maxima and drawdowns (English)
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