A remark on optimal variance stopping problems

DOI10.1239/JAP/1450802762zbMath1334.60061OpenAlexW2278013782MaRDI QIDQ2794735

Bruno Buonaguidi

Publication date: 11 March 2016

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1450802762

zbMATH Keywords

diffusion processesinterest rateoptimal variance stopping problems

Mathematics Subject Classification ID

Quadratic programming (90C20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Financial applications of other theories (91G80) Optimal stopping in statistics (62L15)

Related Items (5)

Constrained maximum variance stopping for a finite horizon increasing random walk ⋮ Some optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock index ⋮ Dynamic optimality in optimal variance stopping problems ⋮ On time-inconsistent stopping problems and mixed strategy stopping times ⋮ Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application

Cites Work

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• Optimal mean-variance selling strategies
• Statistical inference for ergodic diffusion processes.
• Explicit solutions to some optimal variance stopping problems

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