Optimal Brownian Stopping between radially symmetric marginals in general dimensions
Given an initial (resp., terminal) probability measure μ (resp., ν) on Rd, we characterize those optimal stopping times τ that maximize or minimize the functional E|B0−Bτ|α, α>0, where (Bt)t is Brownian motion with initial law B0∼μ and with final distribution --once stopped at τ-- equal to Bτ...
| Main Authors: | , , |
|---|---|
| Format: | Journal article |
| Published: |
Cornell University Library
2017
|