Geodesic
Optimal Stopping Problem in a Model with Compensated Refusal of Reward
Matematičeskie zametki, Tome 89 (2011) no. 2, pp. 241-248

Voir la notice de l'article provenant de la source Math-Net.Ru

We consider the optimal stopping problem with a possible compensated refusal of reward. We discuss functionals of exponential Brownian motion. The optimal stopping time is defined on the set of all finite stopping times. The functionals under consideration correspond to payments for standard American options.
Keywords: optimal stopping problem, stopping time, exponential Brownian motion, standard American option, reward function, Itô–Meyer formula, dominated convergence. 
@article{MZM_2011_89_2_a6,
     author = {R. V. Ivanov},
     title = {Optimal {Stopping} {Problem} in a {Model} with {Compensated} {Refusal} of {Reward}},
     journal = {Matemati\v{c}eskie zametki},
     pages = {241--248},
     publisher = {mathdoc},
     volume = {89},
     number = {2},
     year = {2011},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MZM_2011_89_2_a6/}
}
TY  - JOUR
AU  - R. V. Ivanov
TI  - Optimal Stopping Problem in a Model with Compensated Refusal of Reward
JO  - Matematičeskie zametki
PY  - 2011
SP  - 241
EP  - 248
VL  - 89
IS  - 2
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/MZM_2011_89_2_a6/
LA  - ru
ID  - MZM_2011_89_2_a6
ER  - 
%0 Journal Article
%A R. V. Ivanov
%T Optimal Stopping Problem in a Model with Compensated Refusal of Reward
%J Matematičeskie zametki
%D 2011
%P 241-248
%V 89
%N 2
%I mathdoc
%U http://geodesic.mathdoc.fr/item/MZM_2011_89_2_a6/
%G ru
%F MZM_2011_89_2_a6
R. V. Ivanov. Optimal Stopping Problem in a Model with Compensated Refusal of Reward. Matematičeskie zametki, Tome 89 (2011) no. 2, pp. 241-248. http://geodesic.mathdoc.fr/item/MZM_2011_89_2_a6/