Optimal stopping and maximal inequalities for geometric Brownian motion

DOI10.1239/jap/1032438381zbMath0929.60027OpenAlexW1967612246MaRDI QIDQ4248122

Goran Peskir, Svend-Erik Graversen

Publication date: 24 January 2000

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

Full work available at URL: https://doi.org/10.1239/jap/1032438381

zbMATH Keywords

optimal stoppingprinciple of smooth fitgeometric Brownian motionStephan's problem with moving boundary

Mathematics Subject Classification ID

Brownian motion (60J65) Nonlinear ordinary differential equations and systems (34A34) Stopping times; optimal stopping problems; gambling theory (60G40)

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