Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
type: Item
instance of: scholarly article
title: Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
zbMATH Open document ID: 1085.62096
author: Tze Leung Lai
author: Tiong Wee Lim
published in: Journal of Statistical Planning and Inference
publication date: 2005-02-22T00:00:00Z
Mathematics Subject Classification ID: 62L15
Mathematics Subject Classification ID: 62L10
Mathematics Subject Classification ID: 62M02
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62C10
Mathematics Subject Classification ID: 49J20
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 2136301
zbMATH Keywords: Heat equation
zbMATH Keywords: Free boundary problems
zbMATH Keywords: Bayes sequential tests
zbMATH Keywords: Multi-armed bandits
zbMATH Keywords: European and American options
zbMATH Keywords: Singular stochastic control
MaRDI profile type: Publication
full work available at URL: j.jspi.2003.09.042
OpenAlex ID: W1969343293
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DOI: 10.1016/J.JSPI.2003.09.042
description: scientific article; zbMATH DE number 2136301