Glover, Kristoffer; Hulley, Hardy; Peskir, Goran - Finance Discipline Group, Business School - 2011
Let X =(Xt)t=0 be a transient diffusion processin (0,8) with the diffusion coeffcient s 0 and the scale function L such that Xt ?8 as t ?8 ,let It denote its running minimum for t = 0, and let ? denote the time of its ultimate minimum I8 .Setting c(i,x)=1-2L(x)/L(i) we show that the stopping...
