Discussion on “An effective method for the explicit solution of sequential problems on the real line” by Sören Christensen

DOI10.1080/07474946.2016.1275317zbMath1419.60035OpenAlexW2592632839MaRDI QIDQ5892439

Bruno Buonaguidi

Publication date: 16 May 2017

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474946.2016.1275317

zbMATH Keywords

optimal stoppinggeometric Brownian motionfree-boundary problemperpetual American put option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35) Optimal stopping in statistics (62L15)

Cites Work

• Optimal stopping of strong Markov processes
• An effective method for the explicit solution of sequential problems on the real line
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