On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models

DOI10.1016/J.SPA.2018.08.005zbMATH Open1479.60082arXiv1707.07797OpenAlexW2737653670MaRDI QIDQ2274283FDOQ2274283

Authors: Mingsi Long, Hongzhong Zhang 

Publication date: 19 September 2019

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

Abstract: In the spirit of [Surya07'], we develop an average problem approach to prove the optimality of threshold type strategies for optimal stopping of L'evy models with a continuous additive functional (CAF) discounting. Under spectrally negative models, we specialize this in terms of conditions on the reward function and random discounting, where we present two examples of local time and occupation time discounting. We then apply this approach to recursive optimal stopping problems, and present simpler and neater proofs for a number of important results on qualitative properties of the optimal thresholds, which are only known under a few special cases.

Full work available at URL: https://arxiv.org/abs/1707.07797

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zbMATH Keywords

optimal stoppingLévy models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Stable stochastic processes (60G52) Local time and additive functionals (60J55)

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Cited In (7)

• Perpetual American options with asset-dependent discounting
• Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models
• Optimal multiple stopping with negative discount rate and random refraction times under Lévy models
• Optimal Stopping for Exponential Lévy Models with Weighted Discounting
• The structure of the stopping region in a Lévy model
• First passage upwards for state-dependent-killed spectrally negative Lévy processes
• The Leland-Toft optimal capital structure model under Poisson observations

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