Gapeev, Pavel V. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
We present an explicit solution to the formulated in [17] optimal stopping problem for a geometric compound Poisson … Zieschang.
We present an explicit solution to the formulated in [17] optimal stop-
ping problem for a geometric compound Poisson … Poisson process, Shiryaev’s process, Girsanov’s theorem, Itˆo’s formula, integro-
differential free-boundary problem, smooth …