Book Chapter

The Optimal Time To Exchange One Asset For Another On Finite Interval

Year:

2009

Published in:

Springer Berlin
Optimal stopping
Geometric Brownian motion
Finite horizon
Free boundary problem

Let St1, St2 be correlated geometric Brownian motions. We consider the following problem: find the stopping time 

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Fractional Brownian Motion In A Nutshell

Publisher: arxiv

Authors: Georgiy Shevchenko

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Approximation Schemes For Stochastic Differential Equations In Hilbert Space

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2018
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Existence And Uniqueness Of Mild Solution To Stochastic Heat Equation With White And Fractional Noises

Publisher: arxiv

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