Time-randomized stopping problems for a family of utility functions

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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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Bibliographic Details
Main Authors:	Pérez López, Iker, Le, Huiling
Format:	Article
Published:	Society for Industrial and Applied Mathematics 2015
Subjects:	optimal stopping randomization boundary value problem
Online Access:	https://eprints.nottingham.ac.uk/32709/

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