On Wald Optimal Stopping Problem for Geometric Brownian Motions

Bounds for a constrained optimal stopping problem

“…Remark 3.1 It must be stressed that the above result is here stated for a larger class of diffusion processes than the result in [4].…”

“…The present result is derived from a corresponding Lagrangian dual problem, and using a recent result of Makasu [4].…”

“…In this section, we shall now present an explicit upper bound for the optimal value of the constrained optimal stopping problem (2.2), using the corresponding Lagrangian dual problem (2.3) and the next assertion (see [4]):…”

“…This letter concerns a class of constrained bidimensional optimal stopping problems, for which an explicit upper bound for the optimal value is sought for. The present result is derived from a corresponding Lagrangian dual problem, and using a recent result of Makasu [4].…”