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

DOI10.1016/S0304-4149(00)00063-6MaRDI QIDQ1879504zbMATH OpenOpenAlexFDO

Authors Offer Kella, Søren 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 timelocal timeexponential change of measureWald martingaleLévy process

Mathematics Subject Classification ID

Markov processes (60J99) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

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Cites work

• scientific article; zbMATH DE number 4013703 (Why is no real title available?)
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• A STOCHASTIC CLEARING MODEL WITH A BROWNIAN AND A COMPOUND POISSON COMPONENT
• A multi-dimensional martingale for Markov additive processes and its applications
• An exhaustive lĕvy storage process with intermittent output
• Fluctuation theory in continuous time
• Parallel and tandem fluid networks with dependent Lévy inputs
• Stability and nonproduct form of stochastic fluid networks with Lévy inputs
• Stability and structural properties of stochastic storage networks
• The supremum distribution of a Lévy process with no negative jumps
• Useful martingales for stochastic storage processes with Lévy input

Cited in

(8)

• Queues with Lévy input and hysteretic control
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• Large deviations and fast simulation in the presence of boundaries.
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• Lévy processes, phase-type distributions, and martingales
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