Optimal stopping of the maximum process: The maximality principle

Annals of Probability

Volumn 26, Issue 4, 1998, Pages 1614-1640

  Peskir, Goran ^a,b  

^a AARHUS UNIVERSITY   (Denmark)

^b UNIVERSITY OF ZAGREB   (Croatia)

Author keywords

Diffusion process; Doob and Hardy Littlewood inequalities; Maximum process; Optimal stopping; Optimal stopping boundary; The maximality principle; The principle of smooth fit

Indexed keywords

EID: 0032237702     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/aop/1022855875     Document Type: Article

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