Parameter-dependent optimal stopping problems for one-dimensional diffusions

DOI10.1214/EJP.v15-835zbMath1226.60057MaRDI QIDQ638359

Peter Bank, Christoph Baumgarten

Publication date: 9 September 2011

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

Full work available at URL: http://www.emis.de/journals/EJP-ECP/_ejpecp/viewarticleab40.html

zbMATH Keywords

optimal stoppingAmerican optionsGittins indexmulti-armed bandit problemsuniversal stopping signal

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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