Optimal stopping, Appell polynomials, and Wiener–Hopf factorization
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Publication:3108383
DOI10.1080/17442508.2011.552722zbMath1248.60046OpenAlexW1964413780MaRDI QIDQ3108383
Publication date: 3 January 2012
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2011.552722
Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Appell, Horn and Lauricella functions (33C65)
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