Quickest detection problems for Ornstein-Uhlenbeck processes
Kristoffer Glover, Goran Peskir
| Year of publication: |
2024
|
|---|---|
| Authors: | Glover, Kristoffer ; Peskir, Goran |
| Published in: |
Mathematics of operations research. - Hanover, Md. : INFORMS, ISSN 1526-5471, ZDB-ID 2004273-5. - Vol. 49.2024, 2, p. 1045-1064
|
| Subject: | Bernoulli equation | Brownian motion | free-boundary problem | nonlinear Fredholm integral equation | optimal stopping | Ornstein–Uhlenbeck process | pairs trading | parabolic partial differential equation | quickest detection | risk management | signal-to-noise ratio | smooth fit | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Suchtheorie | Search theory | Risikomanagement | Risk management | Optionspreistheorie | Option pricing theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2021.0186 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014564929