Optimal stopping of Hunt and Lévy processes
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Publication:3429343
DOI10.1080/17442500601100232zbMath1114.60034arXivmath/0605054OpenAlexW2056360380MaRDI QIDQ3429343
Ernesto Mordecki, Paavo H. Salminen
Publication date: 30 March 2007
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0605054
Markov processWiener-Hopf factorizationLévy processHunt processjump-diffusion processGreen kernelOptimal stopping problem
Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)
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