Optimal stopping times for solutions of nonlinear stochastic differential equations and their application to one problem of financial mathematics
We solve the problem of finding the optimal switching time for two alternative strategies at the financial market in the case where a random processX t ,t ∈ [0, T], describing an investor's assets satisfies a nonlinear stochastic differential equation. We determine this switching time τ∈[0...
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| Date: | 1999 |
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| Main Authors: | , , , |
| Format: | Article |
| Language: | Ukrainian English |
| Published: |
Institute of Mathematics, NAS of Ukraine
1999
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| Online Access: | https://umj.imath.kiev.ua/index.php/umj/article/view/4667 |
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| Journal Title: | Ukrains’kyi Matematychnyi Zhurnal |
| Download file: |  |