An optimal stopping problem with a reward constraint
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Publication:1761452
DOI10.1007/s00780-012-0173-4zbMath1271.60055OpenAlexW2023666143MaRDI QIDQ1761452
Jie Xiong, Weidong Tian, Jérôme B. Detemple
Publication date: 15 November 2012
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-012-0173-4
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (2)
Constrained maximum variance stopping for a finite horizon increasing random walk ⋮ Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty
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