A new integral equation for Brownian stopping problems with finite time horizon

DOI10.1016/j.spa.2023.05.004zbMath1526.60031arXiv2110.02655OpenAlexW3201879472MaRDI QIDQ6115254

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Publication date: 12 July 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2110.02655

zbMATH Keywords

optimal stoppingBrownian motionAmerican optionmixture of Gaussian random variablesfinite time horizonFredholm integral representation

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Uniqueness of first passage time distributions via Fredholm integral equations

Cites Work

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