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Optimal time to invest when the price processes are geometric Brownian motions |
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| Authors: | Yaozhong Hu Bernt Øksendal |
| Affiliation: | (1) Department of Mathematics, University of Kansas, 405 Snow Hall, Lawrence, KS 66045, USA (e-mail: hu@math.ukans.edu) , US;(2) Department of Mathematics, University of Oslo, P.O. Box 1053 Blindern, N-0316 Oslo, Norway and Institute of Finance and Management Science, Norwegian School of Economics and Business Administration, Helleveien 30, N-5035 Bergen-Sandviken, Norway (e-mail: oksendal@math.uio.no) , NO |
| Abstract: | |
| Keywords: | : Geometric Brownian motion optimal stopping time continuation region stopping set JEL classification: D81 Mathematics Subject Classifications (1991): 60G40 93E20 60H10 90A09 |
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