Optimal stopping, Appell polynomials, and Wiener–Hopf factorization

DOI10.1080/17442508.2011.552722zbMath1248.60046OpenAlexW1964413780MaRDI QIDQ3108383

Paavo H. Salminen

Publication date: 3 January 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2011.552722

zbMATH Keywords

optimal stoppingAppell polynomialLévy process, Wiener-Hopf factorization

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Appell, Horn and Lauricella functions (33C65)

Related Items (17)

Finding mixed families of special polynomials associated with Appell sequences ⋮ Matrix approach to hypercomplex Appell polynomials ⋮ A general method for finding the optimal threshold in discrete time ⋮ Fock and Hardy spaces: Clifford Appell case ⋮ The Fueter-Sce mapping and the Clifford–Appell polynomials ⋮ RISK MODELS IN INSURANCE AND EPIDEMICS: A BRIDGE THROUGH RANDOMIZED POLYNOMIALS ⋮ FINDING RESULTS FOR CERTAIN RELATIVES OF THE APPELL POLYNOMIALS ⋮ Probabilistic approach to Appell polynomials ⋮ On the Continuous and Smooth Fit Principle for Optimal Stopping Problems in Spectrally Negative Lévy Models ⋮ Extended forms of certain hybrid special polynomials related to Appell sequences ⋮ q-difference equations for the composite 2D q-Appell polynomials and their applications ⋮ Irreversible investment under Lévy uncertainty: an equation for the optimal boundary ⋮ Appell pseudopolynomials and Erlang-type risk models ⋮ Optimal Stopping for Lévy Processes with One-Sided Solutions ⋮ Impulse control and expected suprema ⋮ A unified matrix approach to the representation of Appell polynomials ⋮ Certain results of hybrid families of special polynomials associated with appell sequences

Cites Work

• Optimal stopping and perpetual options for Lévy processes
• Introductory lectures on fluctuations of Lévy processes with applications.
• Optimal stopping of Hunt and Lévy processes
• An approach for solving perpetual optimal stopping problems driven by Lévy processes
• Optimal Stopping for Partial Sums

This page was built for publication: Optimal stopping, Appell polynomials, and Wiener–Hopf factorization