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Optimal stopping problems for Brownian motion

Published online by Cambridge University Press:  01 July 2016

John Bather
John Bather*
Affiliation:
University of Sussex
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Extract

This paper is concerned with the general problem of choosing an optimal stopping time for a Brownian motion process, where the cost associated with any trajectory depends only on its final time and position.

Type
Research Article
Information
Advances in Applied Probability , Volume 2 , Issue 2 , Autumn 1970 , pp. 259 - 286
Copyright
Copyright © Applied Probability Trust 1970 

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References

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