Open AccessOn optimal stopping problems with positive discounting rates and related Laplace transforms of first hitting times in models with geometric Brownian motions
Author(s) -
Pavel V. Gapeev
Publication year - 2021
Publication title -
modsim2021, 24th international congress on modelling and simulation.
Language(s) - English
Resource type - Conference proceedings
DOI - 10.36334/modsim.2021.a1.gapeev
Subject(s) - laplace transform , discounting , brownian motion , geometric brownian motion , mathematics , optimal stopping , mathematical economics , mathematical analysis , mathematical optimization , computer science , statistics , economics , diffusion process , finance , knowledge management , innovation diffusion
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom