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

id	sg-nus-scholar.10635-105286
record_format	dspace
spelling	sg-nus-scholar.10635-1052862023-10-30T22:04:32Z Optimal stopping for Brownian motion with applications to sequential analysis and option pricing Lai, T.L. Lim, T.W. STATISTICS & APPLIED PROBABILITY Bayes sequential tests European and American options Fre boundary problems Heat equation Multi-armed bandits Singular stochastic control 10.1016/j.jspi.2003.09.042 Journal of Statistical Planning and Inference 130 1-2 21-47 JSPID 2014-10-28T05:14:07Z 2014-10-28T05:14:07Z 2005-03-01 Article Lai, T.L., Lim, T.W. (2005-03-01). Optimal stopping for Brownian motion with applications to sequential analysis and option pricing. Journal of Statistical Planning and Inference 130 (1-2) : 21-47. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jspi.2003.09.042 03783758 http://scholarbank.nus.edu.sg/handle/10635/105286 000226645200003 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Bayes sequential tests European and American options Fre boundary problems Heat equation Multi-armed bandits Singular stochastic control
spellingShingle	Bayes sequential tests European and American options Fre boundary problems Heat equation Multi-armed bandits Singular stochastic control Lai, T.L. Lim, T.W. Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
description	10.1016/j.jspi.2003.09.042
author2	STATISTICS & APPLIED PROBABILITY
author_facet	STATISTICS & APPLIED PROBABILITY Lai, T.L. Lim, T.W.
format	Article
author	Lai, T.L. Lim, T.W.
author_sort	Lai, T.L.
title	Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
title_short	Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
title_full	Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
title_fullStr	Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
title_full_unstemmed	Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
title_sort	optimal stopping for brownian motion with applications to sequential analysis and option pricing
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/105286
_version_	1781788026296336384

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

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