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• # Artykuł - szczegóły

## Banach Center Publications

2008 | 83 | 1 | 107-116

## Optimal stopping with advanced information flow: selected examples

EN

### Abstrakty

EN
We study optimal stopping problems for some functionals of Brownian motion in the case when the decision whether or not to stop before (or at) time t is allowed to be based on the δ-advanced information $ℱ_{t+δ}$, where $ℱ_s$ is the σ-algebra generated by Brownian motion up to time s, s ≥ -δ, δ > 0 being a fixed constant. Our approach involves the forward integral and the Malliavin calculus for Brownian motion.

107-116

wydano
2008

### Twórcy

autor
• Department of Mathematics, University of Kansas, 405 Snow Hall, Lawrence, Kansas 66045-2142, U.S.A.
• Center of Mathematics for Applications (CMA), Department of Mathematics, University of Oslo, Box 1053, Blindern, N-0316, Oslo, Norway
autor
• Center of Mathematics for Applications (CMA), Department of Mathematics, University of Oslo, Box 1053, Blindern, N-0316, Oslo, Norway
• Norwegian School of Economics and Business Administration, Helleveien 30, N-5045, Bergen, Norway