An optimal stopping problem for a geometric Brownian motion with Poissonian jumps (Q596911)
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scientific article; zbMATH DE number 2082371
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An optimal stopping problem for a geometric Brownian motion with Poissonian jumps |
scientific article; zbMATH DE number 2082371 |
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An optimal stopping problem for a geometric Brownian motion with Poissonian jumps (English)
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6 August 2004
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Geometric Brownian motion
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Poisson jump process
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Expected discounted terminal reward
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Optimal stopping
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Smooth pasting
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