Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9741753 | Journal of Statistical Planning and Inference | 2005 | 27 Pages |
Abstract
Herman Chernoff made fundamental contributions to analytical and computational methods for solving optimal stopping problems for Brownian motion. He also showed how these optimal stopping problems are closely related to some basic problems in sequential analysis and singular stochastic control. This paper gives a survey of these and related developments and describes some recent applications to option valuation in financial economics.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Tze Leung Lai, Tiong Wee Lim,