On optional stopping of some exponential martingales for Lévy processes with or without reflection.
DOI10.1016/S0304-4149(00)00063-6zbMATH Open1047.60038OpenAlexW2087342253MaRDI QIDQ1879504FDOQ1879504
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
Recommendations
Markov processes (60J99) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)
Cites Work
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- A multi-dimensional martingale for Markov additive processes and its applications
- A STOCHASTIC CLEARING MODEL WITH A BROWNIAN AND A COMPOUND POISSON COMPONENT
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- An exhaustive lĕvy storage process with intermittent output
- Stability and nonproduct form of stochastic fluid networks with Lévy inputs
- Stability and structural properties of stochastic storage networks
- Fluctuation theory in continuous time
- The supremum distribution of a Lévy process with no negative jumps
Cited In (8)
- The expected time to ruin in a risk process with constant barrier via martingales
- Title not available (Why is that?)
- Lévy processes, phase-type distributions, and martingales
- Large deviations and fast simulation in the presence of boundaries.
- Title not available (Why is that?)
- Unifying the Dynkin and Lebesgue–Stieltjes formulae
- Useful martingales for stochastic storage processes with Lévy-type input
- Queues with Lévy input and hysteretic control
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