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Detecting the presence of a random drift in Brownian motion
9 references·0 citing·28 second hop
Detecting the presence of a random drift in Brownian motion (2021)Detecting the presence of a random drift …Global $C^{1}$ regularity of the value function in optimal stopping problems (2020)Global $C^{1}$ regularity of …Continuity of the optimal stopping boundary for two-dimensional diffusions (2018)Continuity of the optimal sto…On the sequential testing problem for some diffusion processes (2011)On the sequential testing pro…Selling a stock at the ultimate maximum (2009)Selling a stock at the ultima…A Change-of-Variable Formula with Local Time on Surfaces (2007)A Change-of-Variable Formula …Optimal stopping and free-boundary problems (2006)Optimal stopping and free-bou…ON THE AMERICAN OPTION PROBLEM (2005)ON THE AMERICAN OPTION PROBLEMA Change-of-Variable Formula with Local Time on Curves (2005)A Change-of-Variable Formula …The Wiener Sequential Testing Problem with Finite Horizon (2004)The Wiener Sequential Testing…Stochastic Differential Equations: An Introduction with Applications. (1987)Continuous Martingales and Brownian Motion (1999)Stochastic differential equations and applications (2008)PRICING OF PERPETUAL AMERICAN OPTIONS IN A MODEL WITH PARTIAL INFORMATION (2011)Bayesian Quickest Detection Problems for Some Diffusion Processes (2013)Optimal Stopping and the American Put (1991)The Pricing of the American Option (1992)Discounted optimal stopping for maxima in diffusion models with finite horizon (2006)GAME CALL OPTIONS REVISITED (2012)Un Cours sur les Intégrales Stochastiques (2002)On the Constructions of the Skew Brownian Motion (2005)Stochastic Integration and Differential Equations (2005)Methods of Mathematical Finance (1998)On the drawdown of completely asymmetric Lévy processes (2012)Optimal mean–variance selling strategies (2015)How to purchase carbon emission right optimally for energy-consuming enterprises? Analysis based on optimal stopping model (2023)The Analytic Valuation of American Options (1990)Esscher transforms and the minimal entropy martingale measure for exponential Lévy models (2006)A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options (2007)Brownian Motion and Stochastic Calculus (2007)Quickest real-time detection of a Brownian coordinate drift (2022)An Optimal Stopping Problem of Detecting Entry Points for Trading Modeled by Geometric Brownian Motion (2019)On Lipschitz Continuous Optimal Stopping Boundaries (2019)Optimal dividends with partial information and stopping of a degenerate reflecting diffusion (2020)The trap of complacency in predicting the maximum (2007)Waiting for News in the Market for Lemons (2012)Sorting through Search and Matching Models in Economics (2017)Bandit Algorithms (2020)
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References

  • 2006Optimal stopping and free-boundary problems1,071 cited
  • 2007A Change-of-Variable Formula with Local Time on Surfaces228 cited
  • 2005ON THE AMERICAN OPTION PROBLEM207 cited
  • 2005A Change-of-Variable Formula with Local Time on Curves176 cited
  • 2009Selling a stock at the ultimate maximum90 cited
  • 2020Global $C^{1}$ regularity of the value function in optimal stopping problems50 cited
  • 2004The Wiener Sequential Testing Problem with Finite Horizon38 cited
  • 2018Continuity of the optimal stopping boundary for two-dimensional diffusions36 cited
  • 2011On the sequential testing problem for some diffusion processes31 cited

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