Optimal Stopping of the Maximum Process

DOI10.1239/JAP/1409932676zbMath1309.60038OpenAlexW2038647330MaRDI QIDQ2923438

Luis H. R. Alvarez, Pekka Matomäki

Publication date: 15 October 2014

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

Full work available at URL: https://projecteuclid.org/euclid.jap/1409932676

zbMATH Keywords

optimal stoppinglinear diffusionsmaximum process

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimal stopping in statistics (62L15)

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