On optional stopping of some exponential martingales for Lévy processes with or without reflection.

DOI10.1016/S0304-4149(00)00063-6zbMath1047.60038MaRDI QIDQ1879504

Offer Kella, Soren Asmussen

Publication date: 22 September 2004

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(00)00063-6

zbMATH Keywords

stopping time; local time; Lévy process; exponential change of measure; Wald martingale

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

60G44: Martingales with continuous parameter

60J99: Markov processes

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