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Detecting the Maximum of a Scalar Diffusion with Negative Drift

Espinosa, Gilles-Edouard; Touzi, Nizar (2012), Detecting the Maximum of a Scalar Diffusion with Negative Drift, SIAM Journal on Control and Optimization, 50, 5, p. 2543-2572. http://dx.doi.org/10.1137/110838352

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Type
Article accepté pour publication ou publié
Date
2012
Journal name
SIAM Journal on Control and Optimization
Volume
50
Number
5
Publisher
SIAM
Pages
2543-2572
Publication identifier
Metadata
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Author(s)
Espinosa, Gilles-Edouard
Touzi, Nizar
Subjects / Keywords
Brownian motions; optimal stopping times; CIR-Feller process; Ornstein-Uhlenbeck process