A capped optimal stopping problem for the maximum process

DOI10.1007/s10440-013-9833-4zbMath1312.60046arXiv1204.3119OpenAlexW2039699785MaRDI QIDQ2439470

Andreas E. Kyprianou, Curdin Ott

Publication date: 14 March 2014

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.3119

zbMATH Keywords

Lévy processesoptimal stoppingscale functions

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

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