Multidimensional investment problem

DOI10.1007/s11579-017-0195-yzbMath1404.91255OpenAlexW2742332334MaRDI QIDQ1702880

Sören Christensen, Paavo H. Salminen

Publication date: 1 March 2018

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-017-0195-y

zbMATH Keywords

integral equationdualityresolvent kernelconvex setgeometric Brownian motionAmerican put optionoptimal investment problemintegral representation of excessive function

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (5)

On an irreversible investment problem with two-factor uncertainty ⋮ Optimal execution with multiplicative price impact and incomplete information on the return ⋮ Continuity of the optimal stopping boundary for two-dimensional diffusions ⋮ The monotone case approach for the solution of certain multidimensional optimal stopping problems ⋮ On optimal stopping of multidimensional diffusions

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