EXISTENCE CONDITIONS OF THE OPTIMAL STOPPING TIME : THE CASES OF GEOMETRIC BROWNIAN MOTION AND ARITHMETIC BROWNIAN MOTION

DOI10.15807/JORSJ.47.145zbMath1114.90080OpenAlexW1507033262MaRDI QIDQ4659879

Publication date: 21 March 2005

Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15807/jorsj.47.145

Mathematics Subject Classification ID

Stochastic programming (90C15)

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