مرکز منطقه ای اطلاع رساني علوم و فناوري - Optimal stopping for Brownian motion with applications to sequential analysis and option pricing

Title of article :

Optimal stopping for Brownian motion with applications to sequential analysis and option pricing

Author/Authors :

Tze Leung Lai، نويسنده , , Tiong Wee Lim، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2005

Pages :

From page :

To page :

Keywords :

Bayes sequential tests , Heat equation , free boundary problems , European andAmerican options , Singular stochastic control , Multi-armed bandits

Journal title :

Journal of Statistical Planning and Inference

Serial Year :

2005

Journal title :

Journal of Statistical Planning and Inference

Record number :

219872

Link To Document :