Variance Optimal Stopping for Geometric Lévy Processes

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

zbMATH Keywords

geometric Lévy processesquadratic optimal stoppingvariance optimal stopping

Mathematics Subject Classification ID

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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