most citedQuantifying the trade-off between income stability and the number of members in a pooled annuity fund

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math.PR2019

Discretionary stopping of stochastic differential equations with generalised drift

Mihail Zervos, Neofytos Rodosthenous, Pui Chan Lon +1

We consider the problem of optimally stopping a general one-dimensional stochastic differential equation (SDE) with generalised drift over an infinite time horizon. First, we deriv…