Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum-Reference-Cited by-同舟云学术

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Stopping Brownian Motion Without Anticipation as Close as Possible to Its Ultimate Maximum

Published:2001-01 Issue:1 Volume:45 Page:41-50
ISSN:0040-585X
Container-title:Theory of Probability & Its Applications
language:en
Short-container-title:Theory Probab. Appl.

Author:

Graversen S. E.,Peskir G.,Shiryaev A. N.

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://epubs.siam.org/doi/pdf/10.1137/S0040585X97978075

Reference5 articles.

1. I. Karatzas and S. Shreve,Methods of Mathematical Finance, Springer-Verlag, Berlin, 1998.

2. D. Revuz and M. Yor,Continuous Martingales and Brownian Motion, Springer-Verlag, Berlin, 1994.

3. L. C. G. Rogers and D. Williams,Diffusions, Markov Processes, and Martingales; Vol. 2: Ito^’s Calculus, Wiley, Chichester, NY, 1987.

4. A. N. Shiryaev,Optimal Stopping Rules, Springer-Verlag, New York, 1978.

5. A. N. Shiryaev,Essentials of Stochastic Finance (Facts, Models, Theory), World Scientific, Singapore, 1999.

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