On a solution of the optimal stopping problem for processes with independent increments

DOI10.1080/17442500601090409zbMATH Open1114.60035OpenAlexW2024555717MaRDI QIDQ3429352FDOQ3429352

Publication date: 30 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://www.uts.edu.au/sites/default/files/qfr-archive-02/QFR-rp178.pdf

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

Cites Work

Stochastic processes and orthogonal polynomials
Title not available (Why is that?)
Optimal Stopping for Partial Sums
Optimal Stopping When the Future is Discounted
Generalized parking problems for levy processes
On Optimal Systems

Cited In (23)

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On the Novikov-Shiryaev optimal stopping problems in continuous time
Optimal stopping for Lévy processes with one-sided solutions
Stochastic processes with proportional increments and the last-arrival problem
Multiobjective stopping problem for discrete-time Markov processes: convex analytic approach
Optimal Stopping for Processes with Independent Increments, and Applications
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A general method for finding the optimal threshold in discrete time
Optimal stopping time problem for random walks with polynomial reward functions
A stationary proportional hazard class process and its applications
On an Effective Solution of the Optimal Stopping Problem for Random Walks
A stationary Weibull process and its applications
On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models
One-sided solutions for optimal stopping problems with logconcave reward functions
Optimal stopping, Appell polynomials, and Wiener-Hopf factorization
On the solution of general impulse control problems using superharmonic functions
General optimal stopping with linear cost
A solution technique for Lévy driven long term average impulse control problems

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