On the Novikov-Shiryaev optimal stopping problems in continuous time

DOI10.1214/ECP.v10-1144zbMath1111.60024OpenAlexW2082613418MaRDI QIDQ2433645

Andreas E. Kyprianou, Budhi A. Surya

Publication date: 3 November 2006

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/127311

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40)

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