Optimal stopping for Brownian motion with applications to sequential analysis and option pricing

Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.jspi.2003.09.042

Title:	Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
Authors:	Lai, T.L. Lim, T.W.
Keywords:	Bayes sequential tests European and American options Fre boundary problems Heat equation Multi-armed bandits Singular stochastic control
Issue Date:	1-Mar-2005
Citation:	Lai, T.L., Lim, T.W. (2005-03-01). Optimal stopping for Brownian motion with applications to sequential analysis and option pricing. Journal of Statistical Planning and Inference 130 (1-2) : 21-47. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jspi.2003.09.042
Abstract:	Herman Chernoff made fundamental contributions to analytical and computational methods for solving optimal stopping problems for Brownian motion. He also showed how these optimal stopping problems are closely related to some basic problems in sequential analysis and singular stochastic control. This paper gives a survey of these and related developments and describes some recent applications to option valuation in financial economics. © 2004 Published by Elsevier B.V.
Source Title:	Journal of Statistical Planning and Inference
URI:	http://scholarbank.nus.edu.sg/handle/10635/105286
ISSN:	03783758
DOI:	10.1016/j.jspi.2003.09.042
Appears in Collections:	Staff Publications

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