Optimal Stopping with a gBm and its Running Maximum: A Remark on the Maximality Principle
Speaker:
Mihail Zervos, London School of Economics
Date and Time:
Wednesday, May 14, 2025 - 11:00am to 11:30am
Location:
Fields Institute, Room 230
Abstract:
We consider an optimal stopping problem involving a geometric Brownian motion and its running maximum. The optimal stopping time is characterised by a free-boundary function, which identifies with a suitable solution to a nonlinear ordinary differential equation. It turns out that this free-boundary function is inconsistent with the original version of the maximality principle.