Optimal stopping problems for running minima with positive discounting rates

DOI10.1016/j.spl.2020.108899zbMath1464.60036OpenAlexW3047551347MaRDI QIDQ2216971

Pavel V. Gapeev

Publication date: 18 December 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/105849/1/GapeevM4_19_12_25h.pdf

zbMATH Keywords

Brownian motionfree-boundary problemoptimal stopping problemchange-of-variable formula with local time on surfacesexponential positive discounting raterunning minimum process

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Perpetual American double lookback options on drawdowns and drawups with floating strikes ⋮ Optimal double stopping problems for maxima and minima of geometric Brownian motions

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