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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 79, 2007 - Issue 1-2: Optimal Stopping and Applications Part I
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Original Articles

Optimal stopping of the maximum process: a converse to the results of Peskir

David Hobson Department of Mathematical Sciences, University of Bath, Bath, BA2 7AY, UKCorrespondence[email protected]
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Pages 85-102 | Received 02 May 2006, Accepted 29 Sep 2006, Published online: 05 Nov 2008

Citations (15)

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Florin Avram & Dan Goreac. (2019) A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time. Scandinavian Actuarial Journal 2019:9, pages 799-823.
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Articles from other publishers (14)

Florin Avram, Danijel Grahovac & Ceren Vardar-Acar. (2020) The W , Z scale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems . ESAIM: Probability and Statistics 24, pages 454-525.
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Florin Avram, Danijel Grahovac & Ceren Vardar-Acar. (2019) The W,Z/ν,δ Paradigm for the First Passage of Strong Markov Processes without Positive Jumps. Risks 7:1, pages 18.
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Tiziano De Angelis. (2018) From optimal stopping boundaries to Rost’s reversed barriers and the Skorokhod embedding. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 54:2.
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Neofytos Rodosthenous & Mihail Zervos. (2016) Watermark options. Finance and Stochastics 21:1, pages 157-186.
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Romuald Elie & Gilles-Edouard Espinosa. (2015) OPTIMAL SELLING RULES FOR MONETARY INVARIANT CRITERIA: TRACKING THE MAXIMUM OF A PORTFOLIO WITH NEGATIVE DRIFT. Mathematical Finance 25:4, pages 754-788.
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Goran Peskir. (2014) Quickest detection of a hidden target and extremal surfaces. The Annals of Applied Probability 24:6.
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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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Kristoffer Glover, Hardy Hulley & Goran Peskir. (2013) Three-dimensional Brownian motion and the golden ratio rule. The Annals of Applied Probability 23:3.
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Arne Løkka & Mihail Zervos. (2013) Long-Term Optimal Investment Strategies in the Presence of Adjustment Costs. SIAM Journal on Control and Optimization 51:2, pages 996-1034.
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Vicky Henderson & David Hobson. (2011) OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS. Mathematical Finance 21:3, pages 365-382.
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Xin Guo & Mihail Zervos. (2010) options . Stochastic Processes and their Applications 120:7, pages 1033-1059.
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A. M. G. Cox, David Hobson & Jan Obłój. (2008) Pathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping. The Annals of Applied Probability 18:5.
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