Optimal time to invest when the price processes are geometric Brownian motions
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|
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