Discretionary stopping of stochastic differential equations with generalised drift
DOI10.1214/19-EJP377zbMath1427.60071arXiv1903.03834OpenAlexW2992546962MaRDI QIDQ2279339
Thomas Bernhardt, Neofytos Rodosthenous, Pui Chan Lon, Mihail Zervos
Publication date: 12 December 2019
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1903.03834
variational inequalitiesoptimal stoppingskew Brownian motionperpetual American optionsstochastic differential equations with generalised drift
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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Cites Work
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