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The Maximality Principle Revisited: On Certain Optimal Stopping Problems · Study

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ChapterThe Maximality Principle Revisited: On Certain Optimal Stopping Problems

Jan K. Obloj2007

Chapter2007

The Maximality Principle Revisited: On Certain Optimal Stopping Problems

22 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Probability and Statistical Research Stochastic processes and statistical mechanics

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References

1976On the Lp norms of stochastic integrals and other martingales 1994Optimal Stopping Rules and Maximal Inequalities for Bessel Processes 1998Optimal stopping of the maximum process: the maximality principle 1999Designing options given the risk: the optimal Skorokhod-embedding problem 2003The time to a given drawdown in Brownian Motion 2006On Local Martingale and its Supremum: Harmonic Functions and beyond

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2010Quickest detection of a hidden target and extremal surfaces

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Year2007

Typechapter

Published2007-07-24

VenueSpringer eBooks

Languageen

Citations22

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-540-71189-6_16

openalex_workW1645843653

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