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

DOI10.1080/17442500601090409MaRDI QIDQ3429352zbMATHOpenAlexFDO

Authors Albert N. Shiryaev, A. Novikov

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

Mathematics Subject Classification ID

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

Recommendations

• Optimal Stopping for Processes with Independent Increments, and Applications
• On an Effective Solution of the Optimal Stopping Problem for Random Walks
• Optimal stopping, Appell polynomials, and Wiener-Hopf factorization
• An optimal stopping problem for a random walk with polynomial reward functions
• Optimal stopping time problem for random walks with polynomial reward functions

Cites work

• scientific article; zbMATH DE number 3500818 (Why is no real title available?)
• Generalized parking problems for levy processes
• On Optimal Systems
• Optimal Stopping When the Future is Discounted
• Optimal Stopping for Partial Sums
• Stochastic processes and orthogonal polynomials

Cited in

(24)

• A note on one-sided solutions for optimal stopping problems driven by Lévy processes
• An optimal stopping problem for a random walk with polynomial reward functions
• Optimal stopping of the stable process with state-dependent killing
• A stationary Weibull process and its applications
• Optimal stopping for Lévy processes with one-sided solutions
• General optimal stopping with linear cost
• A stationary proportional hazard class process and its applications
• An iterative procedure for solving integral equations related to optimal stopping problems
• Appell pseudopolynomials and Erlang-type risk models
• Optimal stopping, Appell polynomials, and Wiener-Hopf factorization
• Multiobjective stopping problem for discrete-time Markov processes: convex analytic approach
• Stochastic processes with proportional increments and the last-arrival problem
• On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models
• On optimal stopping problems for matrix-exponential jump-diffusion processes
• A solution technique for Lévy driven long term average impulse control problems
• Convergence of solutions and their exit times in diffusion models with jumps
• Impulse control and expected suprema
• On the solution of general impulse control problems using superharmonic functions
• One-sided solutions for optimal stopping problems with logconcave reward functions
• Optimal Stopping for Processes with Independent Increments, and Applications
• A general method for finding the optimal threshold in discrete time
• On an Effective Solution of the Optimal Stopping Problem for Random Walks
• On the Novikov-Shiryaev optimal stopping problems in continuous time
• Optimal stopping time problem for random walks with polynomial reward functions

This page was built for publication: On a solution of the optimal stopping problem for processes with independent increments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3429352)