Optimal Stopping for Processes with Independent Increments, and Applications
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Publication:3402063
DOI10.1239/jap/1261670693zbMath1213.60082OpenAlexW2071963801MaRDI QIDQ3402063
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Publication date: 2 February 2010
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1261670693
Processes with independent increments; Lévy processes (60G51) Sums of independent random variables; random walks (60G50) Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
Related Items (8)
On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes ⋮ A general method for finding the optimal threshold in discrete time ⋮ A note on one-sided solutions for optimal stopping problems driven by Lévy processes ⋮ Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model ⋮ On the solution of general impulse control problems using superharmonic functions ⋮ One-sided solutions for optimal stopping problems with logconcave reward functions ⋮ Irreversible investment under Lévy uncertainty: an equation for the optimal boundary ⋮ Impulse control and expected suprema
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