Optimal stopping for absolute maximum of homogeneous diffusion
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Publication:255762
DOI10.3103/S0027132215050022zbMath1334.60063MaRDI QIDQ255762
Publication date: 9 March 2016
Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)
Extreme value theory; extremal stochastic processes (60G70) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)
Cites Work
- The trap of complacency in predicting the maximum
- Optimal stopping of the maximum process: The maximality principle
- Selling a stock at the ultimate maximum
- Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum
- Buy Low and Sell High
- Thou shalt buy and hold
- Optimal prediction of the ultimate maximum of Brownian motion
- Envelope Theorems for Arbitrary Choice Sets
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