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Optimal Stopping Problems in Diffusion-Type Models with Running Maxima and Drawdowns.

Pavel V. GapeevNeofytos Rodosthenous
Published in: J. Appl. Probab. (2014)
Keyphrases
  • optimal stopping
  • anisotropic diffusion
  • brownian motion
  • probabilistic model
  • multistage
  • diffusion process