Browsing by Subject "a change-of-variable formula with local time on surfaces"

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2006-09-11Buch

Discounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon

Gapeev, Pavel V.

We present a solution to some discounted optimal stopping problem for the maximum of a geometric Brownian motion on a finite time interval. The method of proof is based on reducing the initial optimal stopping problem with ...
2006-09-11Buch

Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes

Gapeev, Pavel V.

We present solutions to some discounted optimal stopping problems for the maximum process in a model driven by a Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing ...