Optimal stopping of the maximum process: a converse to the results of Peskir
Author:
Affiliation:
1. a Department of Mathematical Sciences , University of Bath , Bath, BA2 7AY, UK
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442500601111429
Reference13 articles.
1. Une solution simple au probleme de Skorokhod
2. An optimal Skorokhod embedding for diffusions
3. Optimal Stopping Rules and Maximal Inequalities for Bessel Processes
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