Stopping at the maximum of geometric Brownian motion when signals are received
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Publication:3367751
DOI10.1239/jap/1127322030zbMath1094.60030OpenAlexW2125523674MaRDI QIDQ3367751
Publication date: 26 January 2006
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1127322030
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Optimal stopping in statistics (62L15)
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