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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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Bibliographic Details
Date:	1999
Main Authors:	Mishura, Yu. S., Oltsik, Ya. O., Мішура, Ю. С., Ольцік, Я. О.
Format:	Article
Language:	Ukrainian English
Published:	Institute of Mathematics, NAS of Ukraine 1999
Online Access:	https://umj.imath.kiev.ua/index.php/umj/article/view/4667
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Journal Title:	Ukrains’kyi Matematychnyi Zhurnal
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