On optional stopping of some exponential martingales for Lévy processes with or without reflection.
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Publication:1879504
DOI10.1016/S0304-4149(00)00063-6zbMath1047.60038MaRDI QIDQ1879504
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
60G40: Stopping times; optimal stopping problems; gambling theory
60G44: Martingales with continuous parameter
60J99: Markov processes
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