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

• 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
• Institution: National University of Singapore

10.1016/j.jspi.2003.09.042