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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 83, 2011 - Issue 4-6: Optimal stopping with Applications
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Original Articles

Explicit solutions to some optimal variance stopping problems

Jesper Lund Pedersen Department of Mathematical Sciences, University of Copenhagen, Universitetsparken 5, DK-2100, Copenhagen, DenmarkCorrespondence[email protected]
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Pages 505-518 | Received 23 Oct 2009, Accepted 30 Sep 2010, Published online: 10 Oct 2011

Citations (10)

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Bruno Buonaguidi & Antonietta Mira. (2018) Some optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock index. Sequential Analysis 37:1, pages 90-101.
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Articles from other publishers (9)

Boualem Djehiche & Mattia Martini. (2023) Time-inconsistent mean-field optimal stopping: A limit approach. Journal of Mathematical Analysis and Applications 528:1, pages 127582.
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Belleh Fontem. (2020) Constrained maximum variance stopping for a finite horizon increasing random walk. Operations Research Letters 48:4, pages 493-499.
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Sören Christensen & Kristoffer Lindensjö. (2020) On time-inconsistent stopping problems and mixed strategy stopping times. Stochastic Processes and their Applications 130:5, pages 2886-2917.
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Kamille Sofie Tågholt Gad & Pekka Matomäki. (2020) Optimal variance stopping with linear diffusions. Stochastic Processes and their Applications 130:4, pages 2349-2383.
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B. Buonaguidi. (2018) Dynamic optimality in optimal variance stopping problems. Statistics & Probability Letters 141, pages 103-108.
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J. L. Pedersen & G. Peskir. (2015) Optimal mean–variance selling strategies. Mathematics and Financial Economics 10:2, pages 203-220.
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Bruno Buonaguidi. (2016) A remark on optimal variance stopping problems. Journal of Applied Probability 52:4, pages 1187-1194.
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Kamille Sofie Tågholt Gad & Jesper Lund Pedersen. (2016) Variance Optimal Stopping for Geometric Lévy Processes. Advances in Applied Probability 47:1, pages 128-145.
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Kamille Sofie Tågholt Gad & Jesper Lund Pedersen. (2016) Variance Optimal Stopping for Geometric Lévy Processes. Advances in Applied Probability 47:01, pages 128-145.
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