Time-randomized stopping problems for a family of utility functions
This paper studies stopping problems of the form $V=\inf_{0 \leq \tau \leq T} \mathbb{E}[U(\frac{\max_{0\le s \le T} Z_s }{Z_\tau})]$ for strictly concave or convex utility functions U in a family of increasing functions satisfying certain conditions, where Z is a geometric Brownian motion and T is...
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| Format: | Article |
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Society for Industrial and Applied Mathematics
2015
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| Online Access: | https://eprints.nottingham.ac.uk/32709/ |