Variance Optimal Stopping for Geometric Lévy Processes
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Publication:5246174
DOI10.1239/aap/1427814584zbMath1310.60041OpenAlexW2055892299MaRDI QIDQ5246174
Kamille Sofie Tågholt Gad, Jesper Lund Pedersen
Publication date: 17 April 2015
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aap/1427814584
Processes with independent increments; Lévy processes (60G51) Quadratic programming (90C20) Stopping times; optimal stopping problems; gambling theory (60G40)
Related Items (5)
Constrained maximum variance stopping for a finite horizon increasing random walk ⋮ Some optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock index ⋮ Dynamic optimality in optimal variance stopping problems ⋮ On time-inconsistent stopping problems and mixed strategy stopping times ⋮ Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application
Cites Work
- Non-life insurance mathematics. An introduction with stochastic processes.
- Optimal stopping and perpetual options for Lévy processes
- Introductory lectures on fluctuations of Lévy processes with applications.
- Some remarks on first passage of Lévy processes, the American put and pasting principles
- Explicit solutions to some optimal variance stopping problems
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