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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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DOI
10.1016/j.spa.2010.02.008 
https://dx.doi.org/10.1016/j.spa.2010.02.008
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