We extend to stochastic integral processes with deterministic integrands the results previously proved by Graversen, Peskir and Shiryaev, on stopping Brownian motion as close as possible to the ultimate value of a functional.
Abundo, M.r. (2004). Stopping a stochastic integral process as close as possible to the ultimate value of a functional. SCIENTIAE MATHEMATICAE JAPONICAE, 60(3), 475-479.
Stopping a stochastic integral process as close as possible to the ultimate value of a functional
ABUNDO, MARIO ROSOLINO
2004-01-01
Abstract
We extend to stochastic integral processes with deterministic integrands the results previously proved by Graversen, Peskir and Shiryaev, on stopping Brownian motion as close as possible to the ultimate value of a functional.File in questo prodotto:
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