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Author
XIN GUO1 ; ZERVOS, Mihail2
[1] Department of Industrial Engineering and Operations Research, UC Berkeley, CA 94720-1777, United States
[2] Department of Mathematics, London School of Economics, Houghton Street, London WC2A 2AE, United Kingdom
Source

Stochastic processes and their applications. 2010, Vol 120, Num 7, pp 1033-1059, 27 p ; ref : 26 ref

CODEN
STOPB7
ISSN
0304-4149
Scientific domain
Computer science; Mathematics
Publisher
Elsevier, Amsterdam
Publication country
Netherlands
Document type
Article
Language
English
Author keyword
49J10 49K10 60G40 60H30 93E20 Optimal stopping Running maximum process Separatrix Two dimensional free-boundary problem Variational inequality
Keyword (fr)
Arrêt optimal Equation différentielle non linéaire Equation différentielle Fixation prix Fonction valeur Inégalité variationnelle Limite libre Problème frontière libre Processus stochastique Stratégie optimale 60G40 62L15
Keyword (en)
Optimal stopping Nonlinear differential equations Differential equation Pricing Value function Variational inequality Free boundary Free boundary problem Stochastic process Optimal strategy
Keyword (es)
Interrupción óptima Ecuación diferencial Fijación precios Función valor Desigualdad variacional Límite libre Problema frontera libre Proceso estocástico Estrategia optima
Classification
Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01H Stochastic processes

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01I Stochastic analysis

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02L Sequential methods

Discipline
Mathematics
Origin
Inist-CNRS
Database
PASCAL
INIST identifier
22811902

Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS

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