Optimal selling Rules for monetary invariant criteria: Tracking the maximum of a portfolio with negative drift

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Author
Elie, Romuald
Espinosa, Gilles-Edouard
Date
2015-10
Type
  • Journal Article
Publication status
published
External links
Full text via SFX
Journal / series
Mathematical Finance
Volume
25(4)
Pages
754 - 788
Publisher
Wiley-Blackwell
Subject
Free boundary partial differential equation; Optimal prediction; Optimal stopping; Running maximum; Verification
Notes
Published online 8 June 2013.
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