On an Effective Solution of the Optimal Stopping Problem for Random Walks
Year of publication: |
2004-08-01
|
---|---|
Authors: | Novikov, Alexander ; Shiryaev, Albert |
Institutions: | Finance Discipline Group, Business School |
Subject: | optimal stopping | random walk | rate of convergence | Appell polynomials |
-
Kohler, Michael, (2008)
-
Random walk to innovation : why productivity follows a power law
Ghiglino, Christian, (2007)
-
On infinite horizon optimal stopping of general random walk
Lempa, Jukka, (2008)
- More ...
-
On a Solution of the Optimal Stopping Problem for Processes with Independent Increments
Novikov, Alexander, (2006)
-
Geometric Lévy Process Pricing Model
Miyahara, Yoshio, (2001)
-
On Tail Distributions of Supremum and Quadratic Variation of Local Martingales
Liptser, R., (2004)
- More ...