Examples of optimal stopping via measure transformation for processes with one-sided jumps

DOI10.1080/17442500600856297MaRDI QIDQ3429347zbMATH OpenOpenAlexFDO

Authors Erik J. Baurdoux

Publication date 30 March 2007

Published in Stochastics (Search for Journal in Brave)

Full work available at URL http://eprints.lse.ac.uk/23918/1/Examples_of_optimal_stopping_via_measure_transformation_for_processes_with_one-sided_jumps_%28lsero%29.pdf

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Recommendations

• Optimal stopping via measure transformation: the Beibel–Lerche approach
• Construction of the value function and optimal rules in optimal stopping of one-dimensional diffusions
• scientific article; zbMATH DE number 1429026
• Optimal stopping problem associated with jump-diffusion processes
• On the structure of discounted optimal stopping problems for one-dimensional diffusions

Cites work

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Explicit Solutions to Some Problems of Optimal Stopping
• Martingales and First-Passage Times for Ornstein--Uhlenbeck Processes with a Jump Component
• Optimal Stopping in a Markov Process

Cited in

(3)

• An optimal stopping problem for fragmentation processes
• Optimal stopping problems for some Markov processes
• Optimal stopping via measure transformation: the Beibel–Lerche approach

This page was built for publication: Examples of optimal stopping via measure transformation for processes with one-sided jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3429347)