Journal of Applied Probability
- J. Appl. Probab.
- Volume 48, Number 1 (2011), 21-30.
Optimal time to exchange two baskets
In this paper we present simple extensions of earlier works on the optimal time to exchange one basket of log Brownian assets for another. A superset and subset of the optimal stopping region in the case where both baskets consist of multiple assets are obtained. It is also shown that a conjecture of Hu and Øksendal (1998) is false except in the trivial case where all the assets in a basket are the same processes.
J. Appl. Probab., Volume 48, Number 1 (2011), 21-30.
First available in Project Euclid: 15 March 2011
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60]
Secondary: 62L15: Optimal stopping [See also 60G40, 91A60] 93E20: Optimal stochastic control
Nishide, Katsumasa; Rogers, L. C. G. Optimal time to exchange two baskets. J. Appl. Probab. 48 (2011), no. 1, 21--30. doi:10.1239/jap/1300198133. https://projecteuclid.org/euclid.jap/1300198133