We study optimal stopping problems for some functionals of Brownian motion in the case when the decision whether or not to stop before (or at) time t is allowed to be based on the δ-advanced information , where is the σ-algebra generated by Brownian motion up to time s, s ≥ -δ, δ > 0 being a fixed constant. Our approach involves the forward integral and the Malliavin calculus for Brownian motion.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-bc83-0-7,
author = {Yaozhong Hu and Bernt \O ksendal},
title = {Optimal stopping with advanced information flow: selected examples},
journal = {Banach Center Publications},
volume = {83},
year = {2008},
pages = {107-116},
zbl = {1151.93033},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-bc83-0-7}
}
Yaozhong Hu; Bernt Øksendal. Optimal stopping with advanced information flow: selected examples. Banach Center Publications, Tome 83 (2008) pp. 107-116. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-bc83-0-7/