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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 79, 2007 - Issue 3-4: Special issue on optimal stopping with applications
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Original Articles

Optimal stopping via measure transformation: the Beibel–Lerche approach

Hans Rudolf Lerche Department of Mathematical Stochastics, University of Freiburg, Eckerstr. 1, 79104, Freiburg i. Br., GermanyCorrespondence[email protected]
&
Mikhail Urusov Department of Mathematical Stochastics, University of Freiburg, Eckerstr. 1, 79104, Freiburg i. Br., Germany; Department of Probability Theory, Moscow State University, Leninskie Gory 1, 119992, Moscow, RussiaView further author information
Pages 275-291 | Received 23 Mar 2006, Accepted 07 Sep 2006, Published online: 05 Nov 2008

Citations (20)

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Read on this site (4)

Pavel V. Gapeev & Hans Rudolf Lerche. (2011) On the structure of discounted optimal stopping problems for one-dimensional diffusions. Stochastics 83:4-6, pages 537-554.
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Sören Christensen & Albrecht Irle. (2011) A harmonic function technique for the optimal stopping of diffusions. Stochastics 83:4-6, pages 347-363.
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Sören Christensen, Albrecht Irle & Alexander Novikov. (2011) An Elementary Approach to Optimal Stopping Problems for AR(1) Sequences. Sequential Analysis 30:1, pages 79-93.
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Hans Rudolf Lerche & Mikhail Urusov. (2010) On Minimax Duality in Optimal Stopping. Sequential Analysis 29:3, pages 328-342.
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Articles from other publishers (16)

Sören Christensen & Simon Fischer. (2023) A new integral equation for Brownian stopping problems with finite time horizon. Stochastic Processes and their Applications 162, pages 338-360.
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Sören Christensen, Jan Kallsen & Matthias Lenga. (2022) Are American options European after all?. The Annals of Applied Probability 32:2.
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Luis H. R. Alvarez E. & Sören Christensen. (2021) A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty. Advances in Applied Probability 53:2, pages 400-424.
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Sören Christensen & Albrecht Irle. (2020) The monotone case approach for the solution of certain multidimensional optimal stopping problems. Stochastic Processes and their Applications 130:4, pages 1972-1993.
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Manuel Guerra, Cláudia Nunes & Carlos Oliveira. (2020) Optimal stopping of one-dimensional diffusions with integral criteria. Journal of Mathematical Analysis and Applications 481:2, pages 123473.
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Pavel V. Gapeev. (2019) Solving the dual Russian option problem by using change‐of‐measure arguments. High Frequency 2:2, pages 76-84.
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Umut Çetin. (2018) Diffusion transformations, Black–Scholes equation and optimal stopping. The Annals of Applied Probability 28:5.
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Timothy C. Johnson. (2015) The solution of some discretionary stopping problems:. IMA Journal of Mathematical Control and Information, pages dnv060.
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Luis H. R. Alvarez & Pekka Matomäki. (2018) Optimal Stopping of the Maximum Process. Journal of Applied Probability 51:3, pages 818-836.
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Luis H. R. Alvarez & Pekka Matomäki. (2016) Optimal Stopping of the Maximum Process. Journal of Applied Probability 51:03, pages 818-836.
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Luis H. R. Alvarez & Pekka Matomäki. (2016) Optimal Stopping of the Maximum Process. Journal of Applied Probability 51:03, pages 818-836.
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Cloud Makasu. (2014) A bilevel programming approach to double optimal stopping. Applied Mathematics and Computation 238, pages 393-396.
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Damien Lamberton & Mihail Zervos. (2013) On the optimal stopping of a one-dimensional diffusion. Electronic Journal of Probability 18:none.
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Jukka Lempa. (2012) Optimal stopping with random exercise lag. Mathematical Methods of Operations Research 75:3, pages 273-286.
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Александр Александрович Новиков, Aleksandr Aleksandrovich Novikov, Александр Александрович Новиков & Aleksandr Aleksandrovich Novikov. (2008) Несколько замечаний о распределении времени первого выхода и оптимальной остановке AR(1)-последовательностейOn Distributions of First Passage Times and Optimal Stopping of AR(1) Sequences. Теория вероятностей и ее применения Teoriya Veroyatnostei i ee Primeneniya 53:3, pages 458-471.
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Timothy C. Johnson. (2014) The Solution of Discretionary Stopping Problems with Applications to the Optimal Timing of Investment Decisions. SSRN Electronic Journal.
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