Matematicheskie Zametki
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Forthcoming papers
Archive
Impact factor
Guidelines for authors
License agreement
Submit a manuscript

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Mat. Zametki:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

Matematicheskie Zametki, 2011, Volume 89, Issue 2, Pages 241–248
DOI: https://doi.org/10.4213/mzm5261 (Mi mzm5261) 		 
Optimal Stopping Problem in a Model with Compensated Refusal of Reward

R. V. Ivanov

Institute of Control Sciences, Russian Academy of Sciences
Full-text PDF (483 kB)
References:
PDF
HTML
DOI: https://doi.org/10.4213/mzm5261
Abstract: We consider the optimal stopping problem with a possible compensated refusal of reward. We discuss functionals of exponential Brownian motion. The optimal stopping time is defined on the set of all finite stopping times. The functionals under consideration correspond to payments for standard American options.
Keywords: optimal stopping problem, stopping time, exponential Brownian motion, standard American option, reward function, Itô–Meyer formula, dominated convergence.
Received: 09.07.2008
Revised: 19.04.2010
English version:
Mathematical Notes, 2011, Volume 89, Issue 2, Pages 238–244
DOI: https://doi.org/10.1134/S0001434611010299
Bibliographic databases:
Document Type: Article
UDC: 519.21
Language: Russian
Citation: R. V. Ivanov, “Optimal Stopping Problem in a Model with Compensated Refusal of Reward”, Mat. Zametki, 89:2 (2011), 241–248; Math. Notes, 89:2 (2011), 238–244
Citation in format AMSBIB
\Bibitem{Iva11}
\by R.~V.~Ivanov
\paper Optimal Stopping Problem in a Model with Compensated Refusal of Reward
\jour Mat. Zametki
\yr 2011
\vol 89
\issue 2
\pages 241--248
\mathnet{http://mi.mathnet.ru/mzm5261}
\crossref{https://doi.org/10.4213/mzm5261}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2840422}
\transl
\jour Math. Notes
\yr 2011
\vol 89
\issue 2
\pages 238--244
\crossref{https://doi.org/10.1134/S0001434611010299}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000288653100029}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-79952402452}
Linking options:
  • https://www.mathnet.ru/eng/mzm5261
  • https://doi.org/10.4213/mzm5261
  • https://www.mathnet.ru/eng/mzm/v89/i2/p241
    • Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Математические заметки Mathematical Notes
    Statistics & downloads:
    Abstract page:456
    Full-text PDF :190
    References:53
    First page:13
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024