Zobrazeno 1 - 3
of 3
pro vyhledávání: '"Primary: 60G40, Secondary: 60J75"'
Autor:
Egami, Masahiko, Oryu, Tadao
We provide, in a general setting, explicit solutions for optimal stopping problems that involve a diffusion process and its running maximum. Besides, a new feature includes absorbing boundaries that vary with the value of the running maximum. The exi
Externí odkaz:
http://arxiv.org/abs/1509.08203
Autor:
Egami, Masahiko, Oryu, Tadao
We consider a new type of optimal stopping problems where the absorbing boundary moves as the state process X attains new maxima S. More specifically, we set the absorbing boundary as S-b where b is a certain constant. This problem is naturally conne
Externí odkaz:
http://arxiv.org/abs/1308.0509
Autor:
Masahiko Egami, Tadao Oryu
Publikováno v:
SSRN Electronic Journal.
We consider a new type of optimal stopping problems where the absorbing boundary moves as the state process X attains new maxima S. More specifically, we set the absorbing boundary as S-b where b is a certain constant. This problem is naturally conne
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cf61827fe7ff422db1b31d27abd97603
https://doi.org/10.2139/ssrn.2305146
https://doi.org/10.2139/ssrn.2305146
