Publication Cover
Stochastics
An International Journal of Probability and Stochastic Processes
Volume 83, 2011 - Issue 4-6: Optimal stopping with Applications
239
Views
10
CrossRef citations to date
0
Altmetric
Original Articles

Explicit solutions to some optimal variance stopping problems

Pages 505-518 | Received 23 Oct 2009, Accepted 30 Sep 2010, Published online: 10 Oct 2011

References

  • Borodin , A.N. and Salminen , P. 2002 . Handbook of Brownian Motion – Facts and Formulae , 2nd ed. , Boston, MA : Birkhäuser .
  • Cox , J.C. , Ingersoll , J.E. Jr and Ross , S.A. 1985 . A theory of the term structure of interest rates . Econometrica , 53 : 385 – 407 .
  • Delbaen , F. and Shirakawa , H. 2002 . An interest rate model with upper and lower bounds . Asia-Pacific Finan. Markets , 9 : 191 – 209 .
  • Duffie , D. and Richardson , H.R. 1991 . Mean-variance hedging in continuous time . Ann. Appl. Probab. , 1 : 1 – 15 .
  • Ethier , S.N. and Kurtz , T.G. 1986 . Markov Processes: Characterization and Convergence , New York : Wiley .
  • Feller , W. 1951 . Diffusion Processes in Genetics , Proceedings of the Second Berkeley Symposium on Mathematical Statistics and Probability 227 – 246 . Berkeley, CA : University of California Press .
  • Forman , J.L. and Sørensen , M. 2008 . The Pearson diffusions: A class of statistically tractable diffusion processes . Scand. J. Statist. , 35 : 438 – 465 .
  • Karlin , S. and Taylor , H.M. 1981 . A Second Course in Stochastic Processes , New York : Academic Press .
  • Li , D. and Ng , W.-L. 2000 . Optimal dynamic portfolio selection: Multiperiod mean-variance formulation . Math. Finance , 10 : 387 – 406 .
  • Pedersen , J.L. 2005 . “ Optimal stopping problems for time-homogeneous diffusions: A review ” . In Recent Advances in Applied Probability , 427 – 454 . New York : Springer .
  • Peskir , G. and Shiryaev , A. 2006 . Optimal Stopping and Free-Boundary Problems , Boston, MA : Birkhäuser .
  • Richardson , H.R. 1989 . A minimum variance result in continuous trading portfolio optimization . Manag. Sci. , 35 : 1045 – 1055 .
  • Samuelson , P.A. 1965 . Rational theory of warrant pricing . Ind. Manag. Rev. , 6 : 13 – 31 .
  • Shiryaev , A. 1978 . Optimal Stopping Rules , Berlin : Springer .
  • Zhou , X.Y. and Li , D. 2000 . Continuous-time mean-variance portfolio selection: A stochastic LQ framework . Appl. Math. Optim. , 42 : 19 – 33 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.