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Optimal stopping with advanced information flow: selected examples

Yaozhong HuBernt Øksendal — 2008

Banach Center Publications

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.

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