Optimal stopping with advanced information flow: selected examples

Yaozhong Hu; Bernt Øksendal

Banach Center Publications (2008)

  • Volume: 83, Issue: 1, page 107-116
  • ISSN: 0137-6934

Abstract

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We study optimal stopping problems for some functionals of Brownian motion in the case when the decision whether or not to stop before (or at) time t is allowed to be based on the δ-advanced information t + δ , where s is the σ-algebra generated by Brownian motion up to time s, s ≥ -δ, δ > 0 being a fixed constant. Our approach involves the forward integral and the Malliavin calculus for Brownian motion.

How to cite

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Yaozhong Hu, and Bernt Øksendal. "Optimal stopping with advanced information flow: selected examples." Banach Center Publications 83.1 (2008): 107-116. <http://eudml.org/doc/281608>.

@article{YaozhongHu2008,
abstract = {We study optimal stopping problems for some functionals of Brownian motion in the case when the decision whether or not to stop before (or at) time t is allowed to be based on the δ-advanced information $ℱ_\{t+δ\}$, where $ℱ_s$ is the σ-algebra generated by Brownian motion up to time s, s ≥ -δ, δ > 0 being a fixed constant. Our approach involves the forward integral and the Malliavin calculus for Brownian motion.},
author = {Yaozhong Hu, Bernt Øksendal},
journal = {Banach Center Publications},
keywords = {optimal stopping; -advanced information; forward integral; Malliavin calculus},
language = {eng},
number = {1},
pages = {107-116},
title = {Optimal stopping with advanced information flow: selected examples},
url = {http://eudml.org/doc/281608},
volume = {83},
year = {2008},
}

TY - JOUR
AU - Yaozhong Hu
AU - Bernt Øksendal
TI - Optimal stopping with advanced information flow: selected examples
JO - Banach Center Publications
PY - 2008
VL - 83
IS - 1
SP - 107
EP - 116
AB - We study optimal stopping problems for some functionals of Brownian motion in the case when the decision whether or not to stop before (or at) time t is allowed to be based on the δ-advanced information $ℱ_{t+δ}$, where $ℱ_s$ is the σ-algebra generated by Brownian motion up to time s, s ≥ -δ, δ > 0 being a fixed constant. Our approach involves the forward integral and the Malliavin calculus for Brownian motion.
LA - eng
KW - optimal stopping; -advanced information; forward integral; Malliavin calculus
UR - http://eudml.org/doc/281608
ER -

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