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Examples of optimal stopping via measure transformation for processes with one-sided jumps

Baurdoux, Erik J. (2007) Examples of optimal stopping via measure transformation for processes with one-sided jumps. Stochastics: an International Journal of Probability and Stochastic Processes, 79 (3 & 4). pp. 303-307. ISSN 1744-2508

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Identification Number: 10.1080/17442500600856297

Abstract

In this short note, we show that the method introduced by Beibel and Lerche (1997) for solving certain optimal stopping problems for Brownian motion can be applied as well to some optimal stopping problems involving processes with one-sided jumps.

Item Type: Article
Official URL: http://www.tandf.co.uk/journals/titles/17442508.as...
Additional Information: © 2007 Taylor & Francis
Subjects: Q Science > QA Mathematics
Sets: Departments > Statistics
Date Deposited: 07 May 2009 11:50
Last Modified: 14 Mar 2011 15:38
URI: http://eprints.lse.ac.uk/id/eprint/23918

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