Optimal time to invest when the price processes are geometric Brownian motions
- Yaozhong Hu
()(Department of Mathematics, University of Kansas, 405 Snow Hall, Lawrence, KS 66045, USA)
- Bernt Øksendal
()(Department of Mathematics, University of Oslo, P.O. Box 1053 Blindern, N-0316 Oslo, Norway and Institute of Finance and Management Science, Norwegian School of Economics and Business Administration, Helleveien 30, N-5035 Bergen-Sandviken, Norway Manuscript)
Let $X_1(t)$, $\cdots$, $X_n(t)$ be $n$ geometric Brownian motions, possibly correlated. We study the optimal stopping problem: Find a stopping time $\tau^*
Volume (Year): 2 (1998)
Issue (Month): 3 ()
|Note:||received: April 1996; final version received: July 1997|
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/mathematics/quantitative+finance/journal/780/PS2|
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