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Optimal time to invest when the price processes are geometric Brownian motions

Author

Listed:
  • Yaozhong Hu

    (Department of Mathematics, University of Kansas, 405 Snow Hall, Lawrence, KS 66045, USA)

  • Bernt Øksendal

    (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 Manuscript)

Abstract

Let $X_1(t)$, $\cdots$, $X_n(t)$ be $n$ geometric Brownian motions, possibly correlated. We study the optimal stopping problem: Find a stopping time $\tau^*

Suggested Citation

  • Yaozhong Hu & Bernt Øksendal, 1998. "Optimal time to invest when the price processes are geometric Brownian motions," Finance and Stochastics, Springer, vol. 2(3), pages 295-310.
    • Handle: RePEc:spr:finsto:v:2:y:1998:i:3:p:295-310
    Note: received: April 1996; final version received: July 1997
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    More about this item

    Keywords

    Geometric Brownian motion; optimal stopping time; continuation region; stopping set;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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