Irreversible decisions under uncertainty. Optimal stopping made easy

zbMath1131.91001MaRDI QIDQ2383143

Svetlana Boyarchenko, Sergei Levendorskii

Publication date: 8 October 2007

Published in: Studies in Economic Theory (Search for Journal in Brave)

zbMATH Keywords

stochastic processesWiener-Hopf factorizationoptions pricingbinominal and trinominal modelsgeneral Lévy processes

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Stochastic processes (60Gxx)

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