Timing in the presence of directional predictability : optimal stopping of skew Brownian motion
Year of publication: |
October 2017
|
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Authors: | Alvarez, Luis H. R. ; Salminen, Paavo |
Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 86.2017, 2, p. 377-400
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Subject: | Skew Brownian motion | Optimal stopping | Excessive funciton | Irreversible investment | Martin representation | Stochastischer Prozess | Stochastic process | Suchtheorie | Search theory |
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