Journal of Applied Probability

Optimal time to exchange two baskets

Katsumasa Nishide and L. C. G. Rogers

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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.

Article information

J. Appl. Probab., Volume 48, Number 1 (2011), 21-30.

First available in Project Euclid: 15 March 2011

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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

Log Brownian motion optimal stopping time continuation region convex hull


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.

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