Optimal Stopping for Lévy Processes with One-Sided Solutions
From MaRDI portal
Publication:2822793
DOI10.1137/15M1032144zbMath1347.60045MaRDI QIDQ2822793
Ernesto Mordecki, Yuliya S. Mishura
Publication date: 5 October 2016
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15)
Related Items
A general method for finding the optimal threshold in discrete time, A note on one-sided solutions for optimal stopping problems driven by Lévy processes, A general approximation method for optimal stopping and random delay, One-sided solutions for optimal stopping problems with logconcave reward functions, Two-sided optimal stopping for Lévy processes
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A Jump-Diffusion Model for Option Pricing
- Optimal stopping and perpetual options for Lévy processes
- Optimal stopping of strong Markov processes
- On the Novikov-Shiryaev optimal stopping problems in continuous time
- Introductory lectures on fluctuations of Lévy processes with applications.
- Some remarks on first passage of Lévy processes, the American put and pasting principles
- Optimal stopping time problem for random walks with polynomial reward functions
- Optimal stopping, Appell polynomials, and Wiener–Hopf factorization
- Optimal stopping of Hunt and Lévy processes
- An approach for solving perpetual optimal stopping problems driven by Lévy processes
- On a solution of the optimal stopping problem for processes with independent increments
- Optimal Stopping of One-Dimensional Diffusions
- Perpetual American Options Under Lévy Processes
- Financial Modelling with Jump Processes
- Ruin Probabilities for Levy Processes with Mixed-Exponential Negative Jumps
- Optimal Stopping Rules
- Optimal Stopping for Partial Sums
- On an Effective Solution of the Optimal Stopping Problem for Random Walks