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math.OC2016
Explicit Solutions for Optimal Stopping of Linear Diffusion and its Maximum
Masahiko Egami, Tadao Oryu
We provide, in a general setting, explicit solutions for optimal stopping problems that involve diffusion process and its running maximum. Our approach is to use the excursion theo…
math.OC2015
Explicit Solutions for Optimal Stopping of Maximum Process with Absorbing Boundary that Varies with It
Masahiko Egami, Tadao Oryu
We provide, in a general setting, explicit solutions for optimal stopping problems that involve a diffusion process and its running maximum. Besides, a new feature includes absorbi…