Shiryaev, Albert N.; Zhitlukhin, M. V.; Ziemba, William T. - London School of Economics (LSE) - 2013
In this paper, the authors apply a continuous time stochastic process model developed by Shiryaev and Zhutlukhin for optimal stopping of random price processes that appear to be bubbles. By a bubble we mean the rising price is largely based on the expectation of higher and higher future prices....