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

DOI10.1080/17442500600856297zbMATH Open1111.60023OpenAlexW2064066843MaRDI QIDQ3429347FDOQ3429347

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

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Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Martingales and First-Passage Times for Ornstein--Uhlenbeck Processes with a Jump Component
• Explicit Solutions to Some Problems of Optimal Stopping
• 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

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