On Wald-Type Optimal Stopping for Brownian Motion

  • G. P ESKIR
  • Published 1994

Abstract

where B = (Bt)t 0 is standard Brownian motion and the supremum is taken over all stopping times for B with finite expectation, while the map G : R+ ! R satisfies G jxj c jxj2+ d for some d 2 R with c > 0 being given and fixed. The optimal stopping time is shown to be the hitting time by the reflecting Brownian motion jBj = (jBtj)t 0 of the set of all… (More)

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