Optimal stopping problems for the maximum process with upper and lower caps

DOI10.1214/12-AAP903zbMath1290.60048arXiv1107.0233MaRDI QIDQ389066

Curdin Ott

Publication date: 17 January 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.0233

zbMATH Keywords

optimal stopping problem; running maximum; lower caps; spectrally negative Lévy process; upper caps

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60G40: Stopping times; optimal stopping problems; gambling theory

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Uses Software

• Mittag-Leffler
• mlf

Cites Work

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