Optimal stopping for Brownian motion with applications to sequential analysis and option pricing

Optimal stopping for Brownian motion with applications to sequential analysis and option pricing

10.1016/j.jspi.2003.09.042

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Bibliographic Details
Main Authors: Lai, T.L., Lim, T.W.
Other Authors: STATISTICS & APPLIED PROBABILITY
Format: Article
Published: 2014
Subjects:
Bayes sequential tests
European and American options
Fre boundary problems
Heat equation
Multi-armed bandits
Singular stochastic control
Online Access:http://scholarbank.nus.edu.sg/handle/10635/105286
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Institution: National University of Singapore
Description
Summary:10.1016/j.jspi.2003.09.042

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