Abstract
In this article we consider an optimal stopping problem for the process of fractional Brownian motion. We prove that this problem for fractional Brownian motion has non trivial solution. We will describe a class of natural stopping times which compares increments of the process with a drift. We will show an example of non optimality of this class and consider a more complex class of stopping times which can be optimal.
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Kulikov, A.V., Gusyatnikov, P.P. (2016). Stopping Times for Fractional Brownian Motion. In: Fonseca, R., Weber, GW., Telhada, J. (eds) Computational Management Science. Lecture Notes in Economics and Mathematical Systems, vol 682. Springer, Cham. https://doi.org/10.1007/978-3-319-20430-7_25
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DOI: https://doi.org/10.1007/978-3-319-20430-7_25
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-20429-1
Online ISBN: 978-3-319-20430-7
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