Finite approximation schemes for Lévy processes, and their application to optimal stopping problems

DOI10.1016/J.SPA.2007.01.012zbMATH Open1125.60041OpenAlexW2038833434MaRDI QIDQ2381968FDOQ2381968

Authors: Alex Szimayer, Ross A. Maller 

Publication date: 26 September 2007

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

Full work available at URL: https://doi.org/10.1016/j.spa.2007.01.012

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zbMATH Keywords

approximationoptimal stoppingLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Strong limit theorems (60F15) Stopping times; optimal stopping problems; gambling theory (60G40) (L^p)-limit theorems (60F25)

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Cited In (9)

• Weighted empirical processes in the nonparametric inference for Lévy processes
• Approximation and simulation of infinite-dimensional Lévy processes
• GARCH modelling in continuous time for irregularly spaced time series data
• Optimal simulation schemes for Lévy driven stochastic differential equations
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes
• Title not available (Why is that?)
• The disorder problem for purely jump Lévy processes with completely monotone jumps
• American Option Valuation under Continuous-Time Markov Chains

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