Diffusion transformations, Black-Scholes equation and optimal stopping
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Publication:1617159
DOI10.1214/18-AAP1385zbMath1402.60098arXiv1701.01085OpenAlexW2963481861MaRDI QIDQ1617159
Publication date: 7 November 2018
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1701.01085
optimal stoppinglocal timepotential operatorslinear diffusionsfinancial bubblesh-transformstrict local martingalesnonuniqueness of the Cauchy problem
Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Financial applications of other theories (91G80) Local time and additive functionals (60J55)
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