Optimal stopping problem in a model with compensated refusal of reward

DOI10.1134/S0001434611010299zbMath1229.60052OpenAlexW1967986581MaRDI QIDQ650415

Roman V. Ivanov

Publication date: 25 November 2011

Published in: Mathematical Notes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0001434611010299

zbMATH Keywords

stopping timeoptimal stopping problemexponential Brownian motiondominated convergenceItô-Meyer formulareward functionstandard American option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Cites Work

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