Discounted optimal stopping problems for the maximum process
By J. L. Pedersen. Journal of Applied Probability, 2000
59 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/32ba7894ac43c7b3f00ea4218d76c4d3493ee5a9
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Citations in the corpus
- Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes (2007, background): “For a continuous model, (2.4) and (5.1) were solved by Pedersen [23], Guo and Shepp [15], and Beibel and Lerche [4]; see also [11] for the case of finite time horizon.”