Variance optimal stopping for geometric Lévy processes

DOI10.1239/AAP/1427814584MaRDI QIDQ5246174zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

geometric Lévy processesquadratic optimal stoppingvariance optimal stopping

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Processes with independent increments; Lévy processes (60G51) Quadratic programming (90C20)

Recommendations

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Cites work

• Explicit solutions to some optimal variance stopping problems
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 3607222 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Introductory lectures on fluctuations of Lévy processes with applications.
• Non-life insurance mathematics. An introduction with stochastic processes.
• Optimal stopping and perpetual options for Lévy processes
• Some remarks on first passage of Lévy processes, the American put and pasting principles

Cited in

(9)

• Optimal variance stopping with linear diffusions
• On time-inconsistent stopping problems and mixed strategy stopping times
• Constrained maximum variance stopping for a finite horizon increasing random walk
• A remark on optimal variance stopping problems
• Explicit solutions to some optimal variance stopping problems
• Some optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock index
• Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application
• Dynamic optimality in optimal variance stopping problems
• Variability is beneficial in marked stopping problems

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