Optimal stopping for Brownian motion with applications to sequential analysis and option pricing

DOI10.1016/j.jspi.2003.09.042zbMath1085.62096OpenAlexW1969343293MaRDI QIDQ1763432

Tiong Wee Lim, Tze Leung Lai

Publication date: 22 February 2005

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2003.09.042

zbMATH Keywords

Heat equationFree boundary problemsMulti-armed banditsBayes sequential testsEuropean and American optionsSingular stochastic control

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian problems; characterization of Bayes procedures (62C10) Derivative securities (option pricing, hedging, etc.) (91G20) Sequential statistical analysis (62L10) Existence theories for optimal control problems involving partial differential equations (49J20) Optimal stopping in statistics (62L15) Markov processes: hypothesis testing (62M02)

Related Items (2)

A new integral equation for Brownian stopping problems with finite time horizon ⋮ Anscombe’s model for sequential clinical trials revisited

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